RT Journal Article
T1 Nonparametric Tests for Conditional Symmetry in Dynamic Models
A1 Delgado, Miguel A.
A1 Escanciano, Juan Carlos
AB 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.
PB Elsevier
SN 0304-4076
YR 2007
FD 2007
LK https://hdl.handle.net/10016/2494
UL https://hdl.handle.net/10016/2494
LA eng
LA eng
DS e-Archivo
RD 24 may. 2024