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Testing for marginal asymmetry of weakly dependent processes

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  • Marian Vavra

    ()
    (National Bank of Slovakia)

Abstract

This 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 Info

Paper provided by Research Department, National Bank of Slovakia in its series Working and Discussion Papers with number WP 1/2013.

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Length: 24 pages
Date of creation: Sep 2013
Date of revision:
Handle: RePEc:svk:wpaper:1022

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Keywords: marginal symmetry; sample quantiles; Monte Carlo experiments;

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