IDEAS home Printed from https://ideas.repec.org/p/bbk/bbkefp/1806.html
   My bibliography  Save this paper

Bootstrap-Assisted Tests of Symmetry for Dependent Data

Author

Listed:
  • Zacharias Psaradakis

    (Birkbeck, University of London)

  • Márian Vávra

    (Birkbeck Centre for Applied Macroeconomics, University of London)

Abstract

The paper considers the problem of testing for symmetry (about an unknown centre) of the marginal distribution of a strictly stationary and weakly dependent stochastic process. The possibility of using the autoregressive sieve bootstrap and stationary bootstrap procedures to obtain critical values and P-values for symmetry tests is explored. Bootstrap-assisted tests for symmetry are straightforward to implement and require no prior estimation of asymptotic variances. The small-sample properties of a wide variety of tests are investigated using Monte Carlo experiments. A bootstrap-assisted version of the triples test is found to have the best overall performance.

Suggested Citation

  • Zacharias Psaradakis & Márian Vávra, 2018. "Bootstrap-Assisted Tests of Symmetry for Dependent Data," Birkbeck Working Papers in Economics and Finance 1806, Birkbeck, Department of Economics, Mathematics & Statistics.
  • Handle: RePEc:bbk:bbkefp:1806
    as

    Download full text from publisher

    File URL: http://www.bbk.ac.uk/ems/research/wp/2018/BWPEF1806.pdf
    File Function: First version, 2018
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Gon alves, S lvia & White, Halbert, 2002. "The Bootstrap Of The Mean For Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1367-1384, December.
    2. repec:taf:jnlbes:v:34:y:2016:i:3:p:406-415 is not listed on IDEAS
    3. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
    4. Esfandiar Maasoumi & Jeffrey Racine, 2009. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
    5. Lyubchich, Vyacheslav & Wang, Xingyu & Heyes, Andrew & Gel, Yulia R., 2016. "A distribution-free m-out-of-n bootstrap approach to testing symmetry about an unknown median," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 1-9.
    6. D. Poskitt, 2007. "Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 697-725, December.
    7. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    8. Jushan Bai & Serena Ng, 2005. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 49-60, January.
    9. Goncalves, Silvia & de Jong, Robert, 2003. "Consistency of the stationary bootstrap under weak moment conditions," Economics Letters, Elsevier, vol. 81(2), pages 273-278, November.
    10. Racine, Jeffrey S. & Maasoumi, Esfandiar, 2007. "A versatile and robust metric entropy test of time-reversibility, and other hypotheses," Journal of Econometrics, Elsevier, vol. 138(2), pages 547-567, June.
    11. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
    12. Gamini Premaratne, 2005. "A Test for Symmetry with Leptokurtic Financial Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 169-187.
    13. Ekström, Magnus & Jammalamadaka, Sreenivasa Rao, 2012. "A general measure of skewness," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1559-1568.
    14. Henze, N. & Klar, B. & Meintanis, S. G., 2003. "Invariant tests for symmetry about an unspecified point based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 275-297, November.
    15. Antonietta Mira, 1999. "Distribution-free test for symmetry based on Bonferroni's measure," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 959-972.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Autoregressive sieve bootstrap; Stationary bootstrap; Symmetry; Weak dependence.;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bbk:bbkefp:1806. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.ems.bbk.ac.uk/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.