We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed di erence between nonparametric estimates of two den- sity functions. The null distribution (symmetry) is obtained by resampling from an arti cially lengthened series constructed from a rotation of the original series about its mean (median, mode). Simulations demonstrate that the test has correct size and good power in the direction of interesting alternatives, while applications to updated Nelson & Plosser (1982) data demonstrate its potential power gains relative to existing tests.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Department of Economics, Emory University (Atlanta) in its series Emory Economics with number
0806.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: