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RANDOMIZATION TESTS OF COPULA SYMMETRY

Published online by Cambridge University Press:  06 April 2020

Brendan K. Beare and
Juwon Seo
Brendan K. Beare
Affiliation:
University of Sydney
Juwon Seo*
Affiliation:
National University of Singapore
*
Address correspondence to Juwon Seo, Department of Economics, National University of Singapore, Singapore; e-mail: ecssj@nus.edu.sg
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Abstract

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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.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 36 , Issue 6 , December 2020, pp. 1025 - 1063
Copyright
© Cambridge University Press 2020

Footnotes

We thank Xiaohong Chen, Viktor Todorov, and seminar participants at the University of Seville, Korea University, and Yonsei University for helpful comments.

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