Testing axial symmetry in multivariate location-scale linear regression

Abstract

The article deals with the problem of testing conditional axial symmetry within a~multivariate linear heteroscedastic regression framework. A new test based on integrated rank scores is introduced and its asymptotic distribution is derived. The proposed method extends a similar procedure developed for multivariate data to the regression setting. The test may also be employed to assess specific hypotheses concerning distributional properties of the error term. Its performance and application is illustrated in a small simulation study and with real economic data. The article also contains a few theoretical results regarding axial symmetry that may be of independent interest.