Publication Type
Journal Article
Version
publishedVersion
Publication Date
1-2005
Abstract
This paper proposes a simple consistent non-parametric test of conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distributions. We also study the power against local alternatives, propose a bootstrap version of the test, and conduct a small Monte Carlo simulation to evaluate the finite-sample performance of the test.
Keywords
Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Annals of Economics and Finance
Volume
6
First Page
251
Last Page
261
ISSN
1529-7373
Publisher
Peking University Press
Citation
SU, Liangjun and JIN, Sainan.
A bootstrap test for conditional symmetry. (2005). Annals of Economics and Finance. 6, 251-261.
Available at: https://ink.library.smu.edu.sg/soe_research/2040
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