RANDOMIZATION TESTS OF COPULA SYMMETRY

B-Tier
Journal: Econometric Theory
Year: 2020
Volume: 36
Issue: 6
Pages: 1025-1063

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may be viewed as feasible versions of randomization tests of symmetry, the latter being inapplicable due to the unobservability of marginals. Our tests are simple to compute, control size asymptotically, consistently detect arbitrary forms of asymmetry, and do not require the specification of a tuning parameter. Simulations indicate excellent small sample properties compared with existing procedures involving the multiplier bootstrap.

Technical Details

RePEc Handle
repec:cup:etheor:v:36:y:2020:i:6:p:1025-1063_2
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24