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A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models

  • Alicia Pérez Alonso

    ()

    (Universidad de Alicante)

This paper discusses how to test for conditional symmetry in time seriesregression models. To that end, we utilize the Bai and Ng test. We also examinethe performance of some popular (unconditional) symmetry tests for observationswhen applied to regression residuals. The tests considered include the coeficientof skewness, a joint test of the third and fifth moments, the Runs test, the Wilcoxonsigned-rank test and the Triples test. An easy-to-implement symmetric bootstrapprocedure is proposed to calculate critical values for these tests. Consistency of thebootstrap procedure will be shown. A simple Monte Carlo experiment isconducted to explore the finite-sample properties of all the tests.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-18.pdf
File Function: Fisrt version / Primera version, 2006
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2006-18.

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Length: 32 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2006-18
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  1. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  2. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  3. Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
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  9. Jorge Belaire-Franch & Dulce Contreras, 2002. "A Pearson's test for symmetry with an application to the Spanish business cycle," Spanish Economic Review, Springer, vol. 4(3), pages 221-238.
  10. Hodgson, D.J., 1995. "Adaptive Estimation of Error Correlation Models," RCER Working Papers 410, University of Rochester - Center for Economic Research (RCER).
  11. Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series 140, Board of Governors of the Federal Reserve System (U.S.).
  12. 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.
  13. Wooldridge, Jeffrey M. & White, Halbert, 1988. "Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 4(02), pages 210-230, August.
  14. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
  15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  16. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  17. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  18. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
  19. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
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