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A versatile and robust metric entropy test of time-reversibility, and other hypotheses

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  • Racine, Jeffrey S.
  • Maasoumi, Esfandiar

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4K716G6-1/2/73ce2a086a5a28b81248b9bfccb127db
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 138 (2007)
Issue (Month): 2 (June)
Pages: 547-567

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Handle: RePEc:eee:econom:v:138:y:2007:i:2:p:547-567

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Qi Li & Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data," Emory Economics 0805, Department of Economics, Emory University (Atlanta).
  2. Beare, Brendan K. & Seo, Juwon, 2012. "Time irreversible copula-based Markov Models," University of California at San Diego, Economics Working Paper Series qt31f8500p, Department of Economics, UC San Diego.
  3. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
  4. Bacci, Silvia & Bartolucci, Francesco, 2014. "Mixtures of equispaced normal distributions and their use for testing symmetry with univariate data," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 262-272.
  5. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.

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