Testing for marginal asymmetry of weakly dependent processes
AbstractThis article addresses the issue of testing for asymmetry of the marginal law of weakly dependent processes. A modified quantile-based symmetry test is considered. The test has an intuitive interpretation, it is easy and fast to calculate, follows a standard limiting distribution, and much importantly, it is robust against weak dependence of observations and outliers. The finite sample performance of the robust test is examined via Monte Carlo experiments. An empirical application using economic indicators is provided as well.
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Bibliographic InfoPaper provided by Research Department, National Bank of Slovakia in its series Working and Discussion Papers with number WP 1/2013.
Length: 24 pages
Date of creation: Sep 2013
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More information through EDIRC
marginal symmetry; sample quantiles; Monte Carlo experiments;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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