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A consistent test for conditional symmetry in time series models

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Author Info
Bai, Jushan
Ng, Serena

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 103 (2001)
Issue (Month): 1-2 (July)
Pages: 225-258
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Handle: RePEc:eee:econom:v:103:y:2001:i:1-2:p:225-258

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  2. Juan Mora, 2005. "The Two-Sample Problem With Regression Errors: An Empirical Process Approach," Working Papers. Serie AD 2005-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  3. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  4. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," ECARES Working Papers 2008_009, Université Libre de Bruxelles, Ecares. [Downloadable!]
  5. Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Emory Economics 0806, Department of Economics, Emory University (Atlanta). [Downloadable!]
    Other versions:
  6. Maasoumi, Esfandiar & Racine Jeff, 2003. "A Robust Entropy-Based Test for Asymmetry," Departmental Working Papers 0508, Southern Methodist University, Department of Economics. [Downloadable!]
  7. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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