Sign Tests for Dependent Observations

16 Pages Posted: 3 Jan 2006

See all articles by Rustam Ibragimov

Rustam Ibragimov

Harvard University - Department of Economics

Donald Brown

Yale University - Cowles Foundation

Date Written: January 2006

Abstract

The present paper introduces new sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions. Our analysis is based on results that demonstrate 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 estimating the critical values of the tests to computing the quantiles or moments of Binomial or normal distributions. A similar proposition holds for randomization over zero values of three-valued random variables in a conditionally symmetric martyingale-difference sequence.

Keywords: Sign tests, dependence, adapted processes, martingale-difference sequences, Bernoulli random variables, conservative tests, exact tests

JEL Classification: C12, C14, G12, G14

Suggested Citation

Ibragimov, Rustam and Brown, Donald J., Sign Tests for Dependent Observations (January 2006). Harvard Institute of Economic Research Discussion Paper No. 2099, Available at SSRN: https://ssrn.com/abstract=873469 or http://dx.doi.org/10.2139/ssrn.873469

Rustam Ibragimov (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
1805 Cambridge St.
Cambridge, MA 02138
United States
617-496-4795 (Phone)
617-495-7730 (Fax)

HOME PAGE: http://www.economics.harvard.edu/faculty/ibragimov/ibragimov.html

Donald J. Brown

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
71
Abstract Views
980
rank
433,471
PlumX Metrics