Sign tests for dependent observations
File(s)IbragimovBrownRevisedFinal.pdf (288.76 KB)
Accepted version
Author(s)
Brown, Donald
Ibragimov, Rustam
Type
Journal Article
Abstract
New sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions are introduced. The analysis is based on results that demonstrate that randomization over ties in sign tests for equality of conditional distributions of two adapted sequences produces a stream of i.i.d. symmetric Bernoulli random variables. This reduces the problem of evaluating the critical values of the tests to computing the quantiles or moments of Binomial or normal distributions. Similar properties also hold under randomization over zero values of signs of a conditionally symmetric martingale-difference sequence.
Date Issued
2019-04-01
Date Acceptance
2018-11-20
Citation
Econometrics and Statistics, 2019, 10, pp.1-8
ISSN
2452-3062
Publisher
Elsevier BV
Start Page
1
End Page
8
Journal / Book Title
Econometrics and Statistics
Volume
10
Copyright Statement
© 2018 Elsevier Ltd. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/.
Sponsor
Russian Science Foundation
Grant Number
16-18-10432
Subjects
Social Sciences
Economics
Business & Economics
Sign tests
Dependence
Adapted processes
Martingale-difference sequences
Conditional symmetry
Bernoulli random variables
Exact tests
Conservative tests
EXACT NONPARAMETRIC-TESTS
RANDOM-WALK
LINEAR-COMBINATIONS
RANDOM-VARIABLES
ORTHOGONALITY
VERSIONS
DRIFT
Publication Status
Published
Date Publish Online
2018-12-21