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Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics

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Author Info
Ramsey, James B.
Rothman, Philip

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File URL: http://econ.as.nyu.edu/docs/IO/9395/RR88-39.pdf
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Paper provided by C.V. Starr Center for Applied Economics, New York University in its series Working Papers with number 88-39.

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Length: 47 pages
Date of creation: 1988
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Handle: RePEc:cvs:starer:88-39

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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
Phone: (212) 998-8936
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Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html
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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
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Keywords: econometrics;

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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. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
  2. Hinich, Melvin J. & Patterson, Douglas M., 1985. "Identification of the coefficients in a non-linear : time series of the quadratic type," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 269-288. [Downloadable!] (restricted)
  3. Rothman, Philip, 1988. "Further Evidence On The Asymmetric Behavior Of Unemployment Rates Over The Business Cycle," Working Papers 88-23, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
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  4. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
  5. Ramsey, James B. & Montenegro, Alvaro, 1988. "The Identifiability and Estimability of Non-Invertible MA (Q) Models," Working Papers 88-08, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  6. Franco Modigliani, 1977. "The monetarist controversy; or, should we forsake stabilization policies?," Economic Review, Federal Reserve Bank of San Francisco, issue Spr suppl, pages 27-46. [Downloadable!]
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  7. Tobin, James, 1980. "Are New Classical Models Plausible Enough to Guide Policy?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(4), pages 788-99, November. [Downloadable!] (restricted)
  8. Blatt, John Markus, 1980. "On the Frisch Model of Business Cycles," Oxford Economic Papers, Oxford University Press, vol. 32(3), pages 467-79, November. [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. Gilles Zumbach, 2007. "Time reversal invariance in finance," Quantitative Finance Papers 0708.4022, arXiv.org. [Downloadable!]
  2. Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers 93-39, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    Other versions:
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