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CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY

Published online by Cambridge University Press:  01 February 1998

John Xu Zheng
John Xu Zheng
Affiliation:
University of Texas
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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.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 1 , February 1998 , pp. 139 - 149
Copyright
© 1998 Cambridge University Press

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