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    Using Triples to assess symmetry under weak dependence

    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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    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.


    Item Type: Monograph (Working Paper)
    Additional Information: BCAM Working Paper Series 2003. ISSN 1745-8587
    Keyword(s) / Subject(s): Mixing, Near-epoch dependence, Subsampling, Symmetry, U-statistic
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centres and Institutes: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 09 Oct 2020 05:05
    Last Modified: 15 Jun 2021 07:46


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