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Testing for asymmetry in economic time series using bootstrap methods

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Author Info

  • Claudio Lupi

    ()
    (ISAE - Institute for Studies and Economic Analyses)

  • Patrizia Ordine

    ()
    (University of Calabria, Dept. of Economics & Statistics)

Abstract

In this paper we show that phase-scrambling bootstrap offers a natural framework for asymmetry testing in economic time series. A comparison with other bootstrap schemes is also sketched. A Monte Carlo analysis is carried out to evaluate the size and power properties of the phase-scrambling bootstrap-based test.

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File URL: http://www.accessecon.com/pubs/EB/2001/Volume3/EB-01C40004A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2001)
Issue (Month): 8 ()
Pages: 1-12

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Handle: RePEc:ebl:ecbull:eb-01c40004

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Related research

Keywords: Asymmetric time series;

References

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  1. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-36, April.
  2. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  3. Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1, May.
  4. Z. Lomnicki, 1961. "Tests for departure from normality in the case of linear stochastic processes," Metrika, Springer, vol. 4(1), pages 37-62, December.
  5. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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