npsymtest {np} | R Documentation |
npsymtest
implements a consistent entropy-based test for
asymmetry as described in Maasoumi and Racine (2009).
npsymtest(data = NULL, boot.num = 399, bw = NULL, random.seed = 42)
data |
a vector containing the variable. |
boot.num |
an integer value specifying the number of bootstrap
replications to use. Defaults to 399 .
|
bw |
a numeric (scalar) bandwidth. Defaults to plug-in (see details below). |
random.seed |
an integer used to seed R's random number generator. This is to ensure replicability. Defaults to 42. |
npsymtest
computes the Bhattacharya-Matusita-Hellinger metric
entropy measure of divergence between the densities/probabilities of
the data and the rotated data. See Maasoumi and Racine (2009) for
details.
npsymtest
returns an object of type symtest
with the
following components
Srho |
the statistic Srho |
Srho.bootstrap |
contains the bootstrap replications of Srho |
P |
the P-value of the statistic |
boot.num |
number of bootstrap replications |
data.rotate |
the rotated data series |
bw |
the numeric (scalar) bandwidth |
summary
supports object of type symtest
.
When using data of type factor
it is crucial that the
variable not be an alphabetic character string (i.e. the factor must
be integer-valued). The rotation is conducted about the median after
conversion to type numeric
which is then converted back
to type factor
. Failure to do so will have unpredictable
results. See the example below for proper usage.
Tristen Hayfield hayfield@phys.ethz.ch, Jeffrey S. Racine racinej@mcmaster.ca
Maasoumi, E. and J. S. Racine(2009), “A robust entropy-based test of asymmetry for discrete and continuous processes”, Econometric Reviews, 28, 246-261.
set.seed(1234) # Asymmetric discrete probability function x <- factor(rbinom(50,2,.8)) npsymtest(x,boot.num=99) Sys.sleep(5) # Symmetric discrete probability function x <- factor(rbinom(50,2,.5)) npsymtest(x,boot.num=99) Sys.sleep(5) # Asymmetric continuous density function y <- rchisq(50,df=2) npsymtest(y,boot.num=99) Sys.sleep(5) # Symmetric continuous density function y <- rnorm(50) npsymtest(y,boot.num=99)