期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2006
卷号：2006
出版社：Harvard Institute of Economic Research
摘要：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.
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