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A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models

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  • Alicia Pérez Alonso

    ()
    (Universidad de Alicante)

Abstract

This paper discusses how to test for conditional symmetry in time seriesregression models. To that end, we utilize the Bai and Ng test. We also examinethe performance of some popular (unconditional) symmetry tests for observationswhen applied to regression residuals. The tests considered include the coeficientof skewness, a joint test of the third and fifth moments, the Runs test, the Wilcoxonsigned-rank test and the Triples test. An easy-to-implement symmetric bootstrapprocedure is proposed to calculate critical values for these tests. Consistency of thebootstrap procedure will be shown. A simple Monte Carlo experiment isconducted to explore the finite-sample properties of all the tests.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-18.pdf
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2006-18.

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Length: 32 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2006-18

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Keywords: Near Epoch Dependence; Nonparametric tests; Conditional symmetry; Boot- strap; Monte Carlo simulation;

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  1. Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 140, Board of Governors of the Federal Reserve System (U.S.).
  2. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  3. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, 9.
  4. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
  5. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  6. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
  7. Hodgson, Douglas J., 1998. "Adaptive Estimation Of Error Correction Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 44-69, February.
  8. 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.
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  10. Wooldridge, Jeffrey M. & White, Halbert, 1988. "Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 4(02), pages 210-230, August.
  11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  12. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
  13. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, Econometric Society, vol. 65(3), pages 587-600, May.
  14. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
  15. Hussey, Robert, 1992. "Nonparametric evidence on asymmetry in business cycles using aggregate employment time series," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 217-231.
  16. Chen, Cathy W.S. & Gerlach, Richard & So, Mike K.P., 2006. "Comparison of nonnested asymmetric heteroskedastic models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2164-2178, December.
  17. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  18. Jorge Belaire-Franch & Dulce Contreras, 2002. "A Pearson's test for symmetry with an application to the Spanish business cycle," Spanish Economic Review, Springer, vol. 4(3), pages 221-238.
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Cited by:
  1. Kuosmanen, Timo & Fosgerau, Mogens, 2009. "Neoclassical versus frontier production models? Testing for the skewness of regression residuals," MPRA Paper 24208, University Library of Munich, Germany.

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