Psaradakis, Zacharias and Vavra, M. (2020) Using Triples to assess symmetry under weak dependence. Working Paper. Birkbeck, University of London, London, UK.
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Abstract
The problem of assessing symmetry about an unspecified center of the one-dimensional marginal distribution of strictly stationary random processes is considered. A well-known U-statistic based on data triples is used to detect deviations from symmetry, allowing the underying process to satisfy suitable mixing or near-epoch dependence conditions. We suggest using subsampling for inference on the target parameter, establish the asymptotic validity of the method in our setting, and discuss data-driven rules for selecting the size of subsamples. The small-sample properties of the proposed inference procedures are examined by means of Monte Carlo simulations and an application to time series of real output growth is also presented.
Metadata
| Item Type: | Monograph (Working Paper) |
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| Additional Information: | BCAM Working Paper Series 2003. ISSN 1745-8587 |
| Keyword(s) / Subject(s): | Mixing, Near-epoch dependence, Subsampling, Symmetry, U-statistic |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Administrator |
| Date Deposited: | 09 Oct 2020 05:05 |
| Last Modified: | 02 Aug 2023 18:04 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/40989 |
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