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Testing for bivariate spherical symmetry

Author

Listed:
  • Einmahl, J.H.J.

    (Tilburg University, School of Economics and Management)

  • Gantner, M.

    (Tilburg University, School of Economics and Management)

Abstract

An omnibus test for spherical symmetry in R2 is proposed, employing localized empirical likelihood. The thus obtained test statistic is distri- bution-free under the null hypothesis. The asymptotic null distribution is established and critical values for typical sample sizes, as well as the asymptotic ones, are presented. In a simulation study, the good perfor- mance of the test is demonstrated. Furthermore, a real data example is presented.
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Suggested Citation

  • Einmahl, J.H.J. & Gantner, M., 2012. "Testing for bivariate spherical symmetry," Other publications TiSEM f02b446f-b69b-45bb-b39d-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:f02b446f-b69b-45bb-b39d-2a89c474111b
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    Cited by:

    1. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.

    More about this item

    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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