کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097131 1376572 2007 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric tests for conditional symmetry in dynamic models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Nonparametric tests for conditional symmetry in dynamic models
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 652-682
نویسندگان
, ,