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    Bootstrap-assisted tests of symmetry for dependent data

    Psaradakis, Zacharias and Vavra, Marian (2018) Bootstrap-assisted tests of symmetry for dependent data. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    The paper considers the problem of testing for symmetry (about an unknown centre) of the marginal distribution of a strictly stationary and weakly dependent stochastic process. The possibility of using the autoregressive sieve bootstrap and stationary bootstrap procedures to obtain critical values and P-values for symmetry tests is explored. Bootstrap-assisted tests for symmetry are straightforward to implement and require no prior estimation of asymptotic variances. The small-sample properties of a wide variety of tests are investigated using Monte Carlo experiments. A bootstrap-assisted version of the triples test is found to have the best overall performance.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1806
    Keyword(s) / Subject(s): Autoregressive sieve bootstrap; Stationary bootstrap; Symmetry; Weak dependence
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 25 Mar 2019 11:20
    Last Modified: 13 Feb 2021 16:43
    URI: https://eprints.bbk.ac.uk/id/eprint/26849

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