Publication Type

Journal Article

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

Accounting

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

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org./10.1016/j.econlet.2006.06.013

Included in

Accounting Commons

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