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A power comparison among tests for time reversibility

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Author Info
Jorge Belaire-Franch () (Department of Economic Analysis, University of Valencia)
Dulce Contreras () (Department of Economic Analysis, University of Valencia)

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Abstract

Since 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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File URL: http://www.economicsbulletin.com/2004/volume3/EB-04C40003A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 23 ()
Pages: 1-17
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Handle: RePEc:ebl:ecbull:v:3:y:2004:i:23:p:1-17

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Related research
Keywords: CCK test; misspecification; RR test; Time reversibility;

Find related papers by JEL classification:
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
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. Brooks, Chris & Henry, Olan T., 2000. "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, vol. 67(3), pages 245-251, June. [Downloadable!] (restricted)
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  2. repec:att:wimass:199520 is not listed on IDEAS
  3. W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996. "A test for independence based on the correlation dimension," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 197-235. [Downloadable!] (restricted)
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Cited by:
(explanations, 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. Alan E. H. Speight & Piers Thompson, 2006. "Is investment time irreversible? Some empirical evidence for disaggregated UK manufacturing data," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2265-2275, October. [Downloadable!] (restricted)
Statistics
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