TESTING FOR SYMMETRY AND CONDITIONAL SYMMETRY
USING ASYMMETRIC KERNELS
FERNANDES, M. *, MENDES, E. **, and SCAILLET, O. ***
* Queen Mary, University of London ** Department of Statistics, Northwestern University
*** University of Geneva and Swiss Finance
We derive nonparametric tests of symmetry using asymmetric kernels with either shrinking or fixed bandwidths. We show how to extend the approach to examine conditional symmetry by deriving conditions under which our tests are applicable to residuals from semiparametric models with a (sufficiently smooth) nonparametric link function. As a by-product, we prove the consistency of the asymmetric kernel estimator of the derivative of the density function. Simulations show that the asymptotic tests perform well even in very small samples, entailing better size and power properties than some of the existing symmetry tests.
Keywords : asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry.
JEL: C12, C14.
MSC 2000: 62G10.