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Testing for Symmetry in Weakly Dependent Time Series

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  • Luke Hartigan

    (School of Economics, UNSW Business School, UNSW)

Abstract

I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented using regression, and it has a standard Gaussian limiting distribution under the null of symmetry. The finite sample properties of the test are examined via Monte Carlo simulation and suggest that it is more powerful than competing tests in the literature for the DGPs considered. I apply the test to investigate business cycle asymmetry in sectoral data and confirm previous findings that asymmetry is more often detected in goods-producing sectors than service-related sectors.

Suggested Citation

  • Luke Hartigan, 2016. "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers 2016-18, School of Economics, The University of New South Wales.
    • Handle: RePEc:swe:wpaper:2016-18
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    File URL: http://research.economics.unsw.edu.au/RePEc/papers/2016-18.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Symmetry; Weak dependence; Hypothesis testing; Monte Carlo simulation; Business cycle asymmetry;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: 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; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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