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A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models. (English. Abridged French version) Zbl 1203.62084

Summary: We reconsider the test for symmetry of the errors distribution in a class of heteroscedastic models proposed by J. Ngatchou-Wandji [Commun. Stat., Theory Methods 38, No. 9, 1465–1485 (2009; Zbl 1165.62036)]. In the new study, the observations, as well as the errors, are not necessarily stationary but are required to be absolutely regular.

MSC:

62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference

Citations:

Zbl 1165.62036
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References:

[1] Bai, J.; Ng, S., A consistent test for conditional symmetry in time series models, J. Econometrics, 103, 225-258 (2001) · Zbl 0971.62045
[2] Delgado, M. A.; Escanciano, J. C., Nonparametric tests for conditional symmetry in dynamic models, J. Econometrics, 141, 652-682 (2007) · Zbl 1418.62192
[3] Imhof, J. P., Computing the distribution of quadratic forms in normal variables, Biometrika, 48, 419-426 (1961) · Zbl 0136.41103
[4] Ngatchou-Wandji, J., Testing symmetry of the error distribution in nonlinear heteroscedastic models, Comm. Statist. Theory Methods, 38, 1465-1485 (2009) · Zbl 1165.62036
[5] Pérez-Alonso, A., A bootstrap approach to test the conditional symmetry in time series models, Comput. Statist. Dat. Anal., 51, 3484-3504 (2007) · Zbl 1161.62403
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