Publication Type
Journal Article
Version
acceptedVersion
Publication Date
2-2006
Abstract
This paper proposes a simple consistent nonparametric test of multivariate conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null and consistent against any conditional asymmetric distributions.
Keywords
Characteristic function, Conditional symmetry, Test
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
93
Issue
3
First Page
374
Last Page
378
ISSN
0165-1765
Identifier
10.1016/j.econlet.2006.06.013
Publisher
Elsevier
Citation
SU, Liangjun.
A simple test for multivariate conditional symmetry. (2006). Economics Letters. 93, (3), 374-378.
Available at: https://ink.library.smu.edu.sg/soe_research/2008
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org./10.1016/j.econlet.2006.06.013