Maasoumi, Esfandiar () (Department of Economics, Southern Methodist University, Dallas, TX 75275-0496, USA) Racine Jeff () (Department of Economics, Syracuse University, Syracuse, NY 13244-1020, USA)
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We consider a metric entropy capable of detecting deviations from symmetry. A consistent test statistic is constructed from an integrated normed di®erence between two density functions estimated using ker- nel methods. The null distribution (symmetry) is obtained by resam- pling 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 level and power in the direc- tion of interesting alternatives, while applications to updated Nelson & Plosser (1982) data demonstrate its potential power gains relative to existing tests.
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Paper provided by Southern Methodist University, Department of Economics in its series Departmental Working Papers with number
0508.
Length: 12 pages Date of creation: 26 May 2003 Date of revision: Handle: RePEc:smu:ecowpa:0508
Contact details of provider: Postal: Department of Economics, P.O. Box 750496, Southern Methodist University, Dallas, TX 75275-0496 Phone: 214-768-2715 Fax: 214-768-1821 Web page: http://www.smu.edu/economics
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