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CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY

33 citations0/0 files storedEconometric Theory

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

This paper presents a consistent specification test of conditional symmetry using a kernel method. The test statistic is shown to be asymptotically distributed as standard normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distribution. Power against local alternatives is also investigated. A Monte Carlo simulation is provided to evaluate the finite-sample performance of the test.

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1972An approximate method for generating symmetric random variables

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2001A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS

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