A bootstrap test for conditional symmetry
This paper proposes a simple consistent non-parametric 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 distribu...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2005
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2040 https://ink.library.smu.edu.sg/context/soe_research/article/3039/viewcontent/Bootstrap__1_.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Singapore Management University |
| 語言: | English |
| id |
sg-smu-ink.soe_research-3039 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.soe_research-30392017-08-16T06:59:04Z A bootstrap test for conditional symmetry SU, Liangjun JIN, Sainan This paper proposes a simple consistent non-parametric 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 finite-sample performance of the test. 2005-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2040 https://ink.library.smu.edu.sg/context/soe_research/article/3039/viewcontent/Bootstrap__1_.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics. Econometrics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics. Econometrics |
| spellingShingle |
Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics. Econometrics SU, Liangjun JIN, Sainan A bootstrap test for conditional symmetry |
| description |
This paper proposes a simple consistent non-parametric 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 finite-sample performance of the test. |
| format |
text |
| author |
SU, Liangjun JIN, Sainan |
| author_facet |
SU, Liangjun JIN, Sainan |
| author_sort |
SU, Liangjun |
| title |
A bootstrap test for conditional symmetry |
| title_short |
A bootstrap test for conditional symmetry |
| title_full |
A bootstrap test for conditional symmetry |
| title_fullStr |
A bootstrap test for conditional symmetry |
| title_full_unstemmed |
A bootstrap test for conditional symmetry |
| title_sort |
bootstrap test for conditional symmetry |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2005 |
| url |
https://ink.library.smu.edu.sg/soe_research/2040 https://ink.library.smu.edu.sg/context/soe_research/article/3039/viewcontent/Bootstrap__1_.pdf |
| _version_ |
1770573615490662400 |