A power comparison among tests for time reversibility
AbstractSince time reversibility (TR) is a necessary condition for an independent and identically distributed (iid) sequence, several tests for TR have been suggested to be applied as tests for model misspecification. In this paper, we compare the power of two well known TR tests against two situations: 1) the fitted model is a linear ARMA when the true data generating process is a nonlinear-in-mean model (either threshold autorregresive or bilinear), and 2) the fitted model is a symmetric GARCH model but the true process belongs to the asymmetric GARCH family (either EGARCH or GJR).
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2004)
Issue (Month): 23 ()
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- Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
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