Nonparametric Tests for Conditional Symmetry in Dynamic Models

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Escanciano, Juan Carlos
dc.date.accessioned 2009-05-29T12:55:27Z
dc.date.available 2009-05-29T12:55:27Z
dc.date.issued 2007
dc.identifier.bibliographicCitation Journal of Econometrics. 2007, vol. 141, p. 652-682
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/2494
dc.description.abstract This 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.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Omnibus tests
dc.subject.other Symmetry tests
dc.subject.other Conditional distributions
dc.subject.other Time series
dc.subject.other Empirical processes
dc.subject.other Bootstrap
dc.title Nonparametric Tests for Conditional Symmetry in Dynamic Models
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jeconom.2006.10.011
dc.subject.jel C12
dc.subject.jel C14
dc.subject.jel C15
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.jeconom.2006.10.011
dc.rights.accessRights openAccess
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