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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)

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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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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2001)
Issue (Month): ()
Pages: 1-12
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Handle: RePEc:ebl:ecbull:eb-01c40004

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Related research
Keywords: Asymmetric time series; hypothesis testing; bootstrap; Monte Carlo;

Find related papers by JEL classification:
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
  2. Z. Lomnicki, 1961. "Tests for departure from normality in the case of linear stochastic processes," Metrika, Springer, vol. 4(1), pages 37-62, December. [Downloadable!] (restricted)
  3. Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1.
  4. Rita Luukkonen & Timo Terasvirta, 1991. "Testing Linearity of Economic Time Series against Cyclical Asymmetry," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 07, Octobre-m. [Downloadable!]
  5. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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