This paper discusses how to test for conditional symmetry in time seriesregression models. To that end, we utilize the Bai and Ng test. We also examinethe performance of some popular (unconditional) symmetry tests for observationswhen applied to regression residuals. The tests considered include...

We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are...