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On Using Triples to Assess Symmetry Under Weak Dependence

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  • Zacharias Psaradakis
  • Marian Vavra

    (National Bank of Slovakia)

Abstract

The problem of assessing symmetry about an unspecified center of the onedimensional marginal distribution of strictly stationary random processes is considered. A well-known U-statistic based on data triples is used to detect deviations from symmetry, allowing the underying process to satisfy suitable mixing or nearepoch dependence conditions. We suggest using subsampling for inference on the target parameter, establish the asymptotic validity of the method in our setting, and discuss data-driven rules for selecting the size of subsamples. The small-sample properties of the proposed procedures are examined by means of Monte Carlo simulations and an application to real output growth rates is also presented.

Suggested Citation

  • Zacharias Psaradakis & Marian Vavra, 2020. "On Using Triples to Assess Symmetry Under Weak Dependence," Working and Discussion Papers WP 7/2020, Research Department, National Bank of Slovakia.
    • Handle: RePEc:svk:wpaper:1075
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    References listed on IDEAS

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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