Publication:
Nonparametric Tests for Conditional Symmetry in Dynamic Models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorEscanciano, Juan Carlos
dc.date.accessioned2009-05-29T12:55:27Z
dc.date.available2009-05-29T12:55:27Z
dc.date.issued2007
dc.description.abstractThis article proposes omnibus tests for conditional symmetry around a parametric function in a dynamic context. Conditional moments may not exist or may depend on the explanatory variables. Test statistics are suitable functionals of the empirical process of residuals and explanatory variables, whose limiting distribution under the null is nonpivotal. The tests are implemented with the assistance of a bootstrap method, which is justified assuming very mild regularity conditions on the specification of the center of symmetry and the underlying serial dependence structure. Finite sample properties are examined by means of a Monte Carlo experiment.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Econometrics. 2007, vol. 141, p. 652-682
dc.identifier.doi10.1016/j.jeconom.2006.10.011
dc.identifier.issn0304-4076
dc.identifier.urihttps://hdl.handle.net/10016/2494
dc.language.isoeng
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.jeconom.2006.10.011
dc.rights© Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelC12
dc.subject.jelC14
dc.subject.jelC15
dc.subject.otherOmnibus tests
dc.subject.otherSymmetry tests
dc.subject.otherConditional distributions
dc.subject.otherTime series
dc.subject.otherEmpirical processes
dc.subject.otherBootstrap
dc.titleNonparametric Tests for Conditional Symmetry in Dynamic Models
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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