A consistent test for conditional symmetry in time series models
By Jushan Bai, Serena Ng. 2001
100 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/713bca5f30002e561b0a402dd67e2eba43a854ab
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Serena Ng
- Jushan Bai
- Juan-Carlos Escanciano
- Miguel A. Delgado
- Mark W. Watson
- Liangjun Su
- James H. Stock
- Stavros Degiannakis *
In Finance
- Serena Ng
- Jushan Bai
- Juan-Carlos Escanciano
- Miguel A. Delgado
- Stavros Degiannakis *
- Evdokia Xekalaki
- Mark W. Watson
- James H. Stock
Citations in the corpus
- Tests for Skewness, Kurtosis, and Normality for Time Series Data (2005, methodology): “In earlier work (Bai and Ng 2001), we discussed how to test whether the regression residuals are symmetrically distributed.”
- Nonparametric tests for conditional symmetry in dynamic models (2007, methodology): “The test proposed by Bai and Ng (2001) is omnibus for testing symmetry around zero of the marginal distribution of the conditionally scaled innovations Ut ¼ t=sðIt; g0Þ; where VarðY tjI t ¼ Þ ¼ s2ð ; g0Þ, with s2 a known function and g0 an unknown parameter vector.”
- Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, background): “But, for non-symmetric distributions, Engle and González-Rivera (1991), showed that the loss in efficiency may be quite high (Bai and Ng (2001) proposed a procedure for testing conditional symmetry.).”
- Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification (2006, unknown): “Along these lines, Bai and Ng (2001) construct tests for conditional asymmetry.”
- Testing Parametric Conditional Distributions of Dynamic Models (2003, methodology): “Bai and Ng (2001) construct a consistent test for conditional symmetry with the transformation method.”
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses (2007, unknown): “If µe = 0, then tests for conditional asymmetry involve the following null: H0 : f1(e) = f2(−e) for all e. 3See http://www.r-project.org Bai & Ng (2001) construct tests based on the empirical distribution of et and that of −et.”