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A Quantile-based Test for Symmetry of Weakly Dependent Processes

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  • Zacharias Psaradakis
  • Marián Vávra

Abstract

type="main" xml:id="jtsa12132-abs-0001"> This article considers the problem of testing for symmetry of the marginal distribution of weakly dependent, stationary random processes. A quantile-based test for symmetry is proposed, which is easy to implement, requires no moment assumptions and has a standard asymptotic distribution. The finite-sample properties of the test are assessed by means of Monte Carlo experiments. An application to financial time series is also discussed.

Suggested Citation

  • Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
    • Handle: RePEc:bla:jtsera:v:36:y:2015:i:4:p:587-598
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    File URL: http://hdl.handle.net/10.1111/jtsa.12132
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    Cited by:

    1. Zacharias Psaradakis & Marian Vavra, 2018. "Bootstrap Assisted Tests of Symmetry for Dependent Data," Working and Discussion Papers WP 5/2018, Research Department, National Bank of Slovakia.
    2. Zacharias Psaradakis & Marián Vávra, 2022. "Using Triples to Assess Symmetry Under Weak Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1538-1551, October.
    3. Marián Vávra, 2020. "Assessing distributional properties of forecast errors for fan-chart modelling," Empirical Economics, Springer, vol. 59(6), pages 2841-2858, December.
    4. Luke Hartigan, 2016. "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers 2016-18, School of Economics, The University of New South Wales.

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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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