A consistent test for conditional symmetry in time series models

Citations

Cited by:

1. Esfandiar Maasoumi & Jeffrey Racine, 2009. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2024. "Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1099-1127, August.
   • Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
   • Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," CEPR Discussion Papers 17512, C.E.P.R. Discussion Papers.
3. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
4. Timo Kuosmanen & Mogens Fosgerau, 2009. "Neoclassical versus Frontier Production Models? Testing for the Skewness of Regression Residuals," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 351-367, June.
   • Kuosmanen, Timo & Fosgerau, Mogens, 2009. "Neoclassical versus frontier production models? Testing for the skewness of regression residuals," MPRA Paper 24208, University Library of Munich, Germany.
5. Escanciano, J. Carlos, 2010. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Econometric Theory, Cambridge University Press, vol. 26(3), pages 744-773, June.
   • J. Carlos Escanciano, 2009. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," CAEPR Working Papers 2009-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
6. Chen, Tao & Tripathi, Gautam, 2017. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," Journal of Econometrics, Elsevier, vol. 198(1), pages 29-40.
   • Tao Chen & Gautam Tripathi, 2014. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," DEM Discussion Paper Series 14-04, Department of Economics at the University of Luxembourg.
7. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, vol. 143(1), pages 74-87, March.
8. Claude DIEBOLT & Jamel TRABELSI, 2009. "Human Capital and French Macroeconomic Growth in the Long Run," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 40, pages 901-917, May.
   • Claude Diebolt & Jamel Trabelsi, 2008. "Human Capital and French Macroeconomic Growth in the Long Run," Working Papers 08-11, Association Française de Cliométrie (AFC).
9. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
   • Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
   • Lambert, Philippe & Laurent, Sebastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," LIDAM Reprints ISBA 2012006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
10. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
    • Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
11. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
12. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022. "Score-type tests for normal mixtures," Working Papers wp2022_2213, CEMFI.
    • Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
13. Laïb Naâmane & Lemdani Mohamed & Ould Saïd Elias, 2013. "A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 75-104, March.
14. Paolo Zagaglia, 2006. "How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate," Economics Bulletin, AccessEcon, vol. 5(14), pages 1-11.
15. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
16. Niu, Cuizhen & Guo, Xu & Li, Yong & Zhu, Lixing, 2018. "Pairwise distance-based tests for conditional symmetry," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 145-162.
17. Mihail Petkovski & Jordan Kjosevski & Aleksandar Stojkov & Katerina Bartasek Petkovska, 2024. "Examining Country-specific and Global Factors of Inflation Dynamics: The Curious Case of Baltic States," Politická ekonomie, Prague University of Economics and Business, vol. 2024(6), pages 896-922.
18. Su, Liangjun, 2006. "A simple test for multivariate conditional symmetry," Economics Letters, Elsevier, vol. 93(3), pages 374-378, December.
19. Chung, EunYi & Olivares, Mauricio, 2021. "Permutation test for heterogeneous treatment effects with a nuisance parameter," Journal of Econometrics, Elsevier, vol. 225(2), pages 148-174.
20. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
21. Simos Meintanis, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 432-436, September.
22. Chen, Qiang & Zheng, Xu & Pan, Zhiyuan, 2015. "Asymptotically distribution-free tests for the volatility function of a diffusion," Journal of Econometrics, Elsevier, vol. 184(1), pages 124-144.
23. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
    • Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, 2011. "Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels," Swiss Finance Institute Research Paper Series 11-32, Swiss Finance Institute.
24. Tao Chen & Gautam Tripathi, 2013. "Testing conditional symmetry without smoothing," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 273-313, June.
    • Tao Chen & Gautam Tripathi, 2011. "Testing Conditional Symmetry Without Smoothing," Working papers 2011-01, University of Connecticut, Department of Economics.
25. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
26. Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
    • Andrea Bastianin, 2019. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Working Papers 408, University of Milano-Bicocca, Department of Economics, revised 06 May 2019.
27. Yi-Ting Chen & Chung-Ming Kuan, 2003. "A Generalized Jarque-Bera Test of Conditional Normality," IEAS Working Paper : academic research 03-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
28. Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013. "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3218-3226.
    • Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Finance Working Papers 23399, East Asian Bureau of Economic Research.
    • Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Macroeconomics Working Papers 23399, East Asian Bureau of Economic Research.
    • Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara, 2013. "Asymmetry in government bond returns," AJRC Working Papers 1301, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
    • Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," CAMA Working Papers 2013-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
29. Bai, Jushan & Chen, Zhihong, 2008. "Testing multivariate distributions in GARCH models," Journal of Econometrics, Elsevier, vol. 143(1), pages 19-36, March.
30. Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
    • Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, New Economic School (NES).
31. Mora, Juan & Neumeyer, Natalie, 2005. "The Two-Sample Problem with Regression Errors : An Empirical Process Approach," Technical Reports 2005,05, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Juan Mora, 2005. "The Two-Sample Problem With Regression Errors: An Empirical Process Approach," Working Papers. Serie AD 2005-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
32. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
33. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
34. Maasoumi, Esfandiar & Racine Jeff, 2003. "A Robust Entropy-Based Test for Asymmetry," Departmental Working Papers 0508, Southern Methodist University, Department of Economics.
35. Liangjun Su & Sainan Jin, 2005. "A Bootstrap Test for Conditional Symmetry," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 251-261, November.
36. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
37. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
38. Joseph Ngatchou-Wandji & Michel Harel, 2013. "A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models," Statistical Inference for Stochastic Processes, Springer, vol. 16(3), pages 207-236, October.
39. repec:csg:ajrcwp:01 is not listed on IDEAS
40. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
41. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
42. Luke Hartigan, 2016. "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers 2016-18, School of Economics, The University of New South Wales.
43. Ivanović, Blagoje & Milošević, Bojana & Obradović, Marko, 2020. "Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
44. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
    • Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
45. Halunga, Andreea G. & Orme, Chris D., 2009. "First-Order Asymptotic Theory For Parametric Misspecification Tests Of Garch Models," Econometric Theory, Cambridge University Press, vol. 25(2), pages 364-410, April.
    • Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," Economics Discussion Paper Series 0721, Economics, The University of Manchester.
46. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
    • Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics.
47. Delgado, Miguel A. & Song, Xiaojun, 2018. "Nonparametric tests for conditional symmetry," Journal of Econometrics, Elsevier, vol. 206(2), pages 447-471.
48. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
49. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
50. repec:ebl:ecbull:v:5:y:2006:i:14:p:1-11 is not listed on IDEAS
51. Chen Yi-Ting & Lin Chang-Ching, 2008. "On the Robustness of Symmetry Tests for Stock Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-40, May.
52. Mora, Juan, 2005. "Comparing distribution functions of errors in linear models: A nonparametric approach," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 425-432, July.
53. Chen Yi-Ting, 2003. "Testing Serial Independence against Time Irreversibility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-30, October.
54. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
55. Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.