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Testing Conditional Symmetry Without Smoothing

Author

Listed:
  • Tao Chen

    (University of Connecticut)

  • Gautam Tripathi

    (University of Connecticut)

Abstract
We test the assumption of conditional symmetry used to identify and estimate parameters in regression models with endogenous regressors without making any distributional assumptions. The specification test proposed here is computationally tractable, does not require nonparametric smoothing, and can detect n1/2-deviations from the null. Since the limiting distribution of the test statistic turns out to be a non-pivotal gaussian process, the critical values for implementing the test are obtained by simulation. In a Monte Carlo study we use the approach proposed here to test the assumption of conditional symmetry maintained in the seminal paper of Powell (1986b). Results from this finite sample experiment suggest that our test can work very well in moderately sized samples.

Suggested Citation

  • Tao Chen & Gautam Tripathi, 2011. "Testing Conditional Symmetry Without Smoothing," Working papers 2011-01, University of Connecticut, Department of Economics.
  • Handle: RePEc:uct:uconnp:2011-01
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    References listed on IDEAS

    as
    1. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
    2. Sakata, Shinichi, 2007. "Instrumental variable estimation based on conditional median restriction," Journal of Econometrics, Elsevier, vol. 141(2), pages 350-382, December.
    3. Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics.
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    5. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
    6. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
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    8. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(3), pages 428-457, December.
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    10. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
    11. Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.
    12. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-183, January.
    13. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
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    Cited by:

    1. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
    2. Chen, Tao & Tripathi, Gautam, 2017. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," Journal of Econometrics, Elsevier, vol. 198(1), pages 29-40.
    3. Niu, Cuizhen & Guo, Xu & Li, Yong & Zhu, Lixing, 2018. "Pairwise distance-based tests for conditional symmetry," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 145-162.

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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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