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Higher-Order Residual Analysis for AR-ARCH Models with the TR Test

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Author Info
Belaire-Franch, Jorge
Contreras, Dulce

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Abstract

Ramsey and Rothman (1996) design a statistical device to test for time reversibility (TR test). They claim that their procedure is not powerful against ARCH-type alternatives, which also allows Rothman (1998) to propose a strategy based on the TR test to detect bilinear and threshold autoregressive (TAR) models. However, this work shows through Monte Carlo analysis that the size of the TR test may be seriously distorted by this class of uncorrelated non-i.i.d. processes, and not necessarily time irreversible. Copyright 2002 by Taylor and Francis Group

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 9 (2002)
Issue (Month): 11 (September)
Pages: 749-52
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Handle: RePEc:taf:apeclt:v:9:y:2002:i:11:p:749-52

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  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)
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