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Testing time reversibility without moment restrictions

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  • Chen, Yi-Ting
  • Chou, Ray Y.
  • Kuan, Chung-Ming

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 95 (2000)
Issue (Month): 1 (March)
Pages: 199-218

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Handle: RePEc:eee:econom:v:95:y:2000:i:1:p:199-218

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

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References

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  1. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  2. Marc Hallin & Claude Lefèvre & Madan L. Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
  3. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, Elsevier, vol. 56(3), pages 269-290, April.
  4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  5. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 2(01), pages 72-88, March.
  6. Marc Hallin & Youssef Benghabrit, 1996. "Rank-based tests for autoregressive against bilinear serial dependence," ULB Institutional Repository 2013/2057, ULB -- Universite Libre de Bruxelles.
  7. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  8. Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers, C.V. Starr Center for Applied Economics, New York University 93-39, C.V. Starr Center for Applied Economics, New York University.
  9. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(3), pages 437-53, May.
  10. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S187-95, Suppl. De.
  11. Xiaojun, Li & Morris, Joel M., 1991. "On measuring asymmetry and the reliability of the skewness measure," Statistics & Probability Letters, Elsevier, vol. 12(3), pages 267-271, September.
  12. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 251-280.
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Citations

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Cited by:
  1. McCAUSLAND, William J., 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
  3. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  4. Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
  5. Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 274-292, September.
  6. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  7. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
  8. 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.
  9. Gilles Zumbach, 2007. "Time reversal invariance in finance," Papers 0708.4022, arXiv.org.
  10. repec:wyi:journl:002099 is not listed on IDEAS
  11. Yi-Ting Chen & Chung-Ming Kuan, 2002. "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 565-578.
  12. repec:ebl:ecbull:v:3:y:2004:i:23:p:1-17 is not listed on IDEAS
  13. Belaire-Franch, Jorge & Contreras, Dulce, 2003. "Tests for time reversibility: a complementarity analysis," Economics Letters, Elsevier, vol. 81(2), pages 187-195, November.
  14. Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 219-230, June.
  15. Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
  16. Steven Cook & Alan Speight, 2006. "International Business Cycle Asymmetry and Time Irreversible Nonlinearities," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(10), pages 1051-1065.
  17. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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