Journal ArticleDOI
A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
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TLDR
In this article, a test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions, and the null distribution is obtained by resampling from an artificially lengthened series constructed from a rotation of the original series about its mean (median, mode).Abstract:
We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions. The null distribution (symmetry) is obtained by resampling from an artificially lengthened series constructed from a rotation of the original series about its mean (median, mode). Simulations demonstrate that the test has correct size and good power in the direction of interesting alternatives, while applications to updated Nelson and Plosser (1982) data demonstrate its potential power gains relative to existing tests.read more
Citations
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Journal ArticleDOI
Asymmetry in Stock Comovements: An Entropy Approach
Lei Jiang,Ke Wu,Guofu Zhou +2 more
TL;DR: In this article, an entropy approach for measuring the asymmetric comovement between the return on a single asset and the market return was proposed. But the approach was not applied to the stock market, and the results showed that the asymmetry is much more pervasive than previously thought.
Journal ArticleDOI
Asymmetry in Stock Comovements: An Entropy Approach
Lei Jiang,Ke Wu,Guofu Zhou +2 more
TL;DR: In this article, an entropy measure of asymmetric comovements between an asset return and the market return was proposed, which yields a model-free test for stock returns asymmetry, generalizing the correlation-based test proposed by Hong, Tu and Zhou.
Journal ArticleDOI
Entropy testing for nonlinear serial dependence in time series
TL;DR: It is shown how, in the same way as the autocorrelation function is used for linear models, the tests can in principle be employed to detect the lags at which a significant nonlinear relationship is present.
The np Package
Tristen Hayfield,S. Racine +1 more
TL;DR: The R np package implements a variety of nonparametric and semiparametric kernel-based estimators that are popular among econometricians, and focuses on kernel methods appropriate for the mix of continuous, discrete, and categorical data often found in applied settings.
References
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Book
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Bradley Efron,Robert Tibshirani +1 more
TL;DR: This article presents bootstrap methods for estimation, using simple arguments, with Minitab macros for implementing these methods, as well as some examples of how these methods could be used for estimation purposes.
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TL;DR: In this article, a general theory of the rate of interest was proposed, and the subjective and objective factors of the propensity to consume and the multiplier were considered, as well as the psychological and business incentives to invest.
Journal ArticleDOI
A Contribution to the Empirics of Economic Growth
TL;DR: The authors examined whether the Solow growth model is consistent with the international variation in the standard of living, and they showed that an augmented Solow model that includes accumulation of human as well as physical capital provides an excellent description of the cross-country data.