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Nonparametric tests for conditional symmetry in dynamic models

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  • Delgado, Miguel A.
  • Carlos Escanciano, J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 652-682

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:652-682

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

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References

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  1. Zheng, John Xu, 1998. "Consistent Specification Testing For Conditional Symmetry," Econometric Theory, Cambridge University Press, vol. 14(01), pages 139-149, February.
  2. Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
  3. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
  4. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  5. Neumeyer, Natalie & Dette, Holger, 2003. "Testing for symmetric error distribution in nonparametric regression models," Technical Reports 2003,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  6. Heathcote, C. R. & Rachev, S. T. & Cheng, B., 1995. "Testing Multivariate Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 54(1), pages 91-112, July.
  7. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
  8. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, October.
  9. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
  10. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
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Citations

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Cited by:
  1. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
  2. Cristina Danciulescu, 2010. "Backtesting Value-at-Risk Models: A Multivariate Approach," Caepr Working Papers 2010-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  3. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
  4. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  5. J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print peer-00732534, HAL.
  6. Tao Chen & Gautam Tripathi, 2014. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," CREA Discussion Paper Series 14-04, Center for Research in Economic Analysis, University of Luxembourg.
  7. Simos Meintanis, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 432-436, September.
  8. Jose Olmo & Jesus Gonzalo, 2012. "Conditional stochastic dominance tests in dynamic settings," Economics Working Papers we1205, Universidad Carlos III, Departamento de Economía.
  9. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
  10. Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.

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