A CONSISTENT NONPARAMETRIC TEST OF SYMMETRY IN LINEAR-REGRESSION MODELS

• 成果类型: Article
• 署名作者: FAN, YQ; GENCAY, R
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• 发表日期: 1995
• 页码: 551-557
• 关键词: Adaptive Estimation

摘要

This article proposes a consistent nonparametric test of the hypothesis that the disturbance in a linear regression model is distributed symmetrically around zero. Simulation results show that the test has good size and power properties for sample sizes as small as 50. We illustrate the use of the test in a cross-country model of inflation and monetary growth.