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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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    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)
    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
    URI: https://eprints.bbk.ac.uk/id/eprint/40989

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