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A Bootstrap Test for Conditional Symmetry

Author

Listed:
  • Liangjun Su

    (Guanghua School of Management, Peking University)

  • Sainan Jin

    (Guanghua School of Management, Peking University)

Abstract

This paper proposes a simple consistent nonparametric test of conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distributions. We also study the power against local alternatives, propose a bootstrap version of the test, and conduct a small Monte Carlo simulation to evaluate the finitesample performance of the test.

Suggested Citation

  • Liangjun Su & Sainan Jin, 2005. "A Bootstrap Test for Conditional Symmetry," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 251-261, November.
    • Handle: RePEc:cuf:journl:y:2005:v:6:i:2:p:251-261
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    References listed on IDEAS

    as
    1. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
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    3. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    4. Polonik, Wolfgang & Yao, Qiwei, 2000. "Conditional minimum volume predictive regions for stochastic processes," LSE Research Online Documents on Economics 6311, London School of Economics and Political Science, LSE Library.
    5. Songnian Chen, 1996. "Semiparametric efficiency bound for the Type 3 Tobit model under a symmetry restriction," Economics Letters, Elsevier, vol. 50(2), pages 161-167, February.
    6. Chen, Songnian, 2000. "Efficient estimation of binary choice models under symmetry," Journal of Econometrics, Elsevier, vol. 96(1), pages 183-199, May.
    7. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
    8. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
    9. Gooijer, Jan G. De & Gannoun, Ali, 2000. "Nonparametric conditional predictive regions for time series," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 259-275, May.
    10. Zheng, John Xu, 1998. "Consistent Specification Testing For Conditional Symmetry," Econometric Theory, Cambridge University Press, vol. 14(1), pages 139-149, February.
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    12. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
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    Cited by:

    1. Henderson, Daniel J. & Parmeter, Christopher F., 2015. "A consistent bootstrap procedure for nonparametric symmetry tests," Economics Letters, Elsevier, vol. 131(C), pages 78-82.

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    More about this item

    Keywords

    Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics;
    All these keywords.

    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

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