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A Frequency Domain Test of Time Reversibility

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Melvin J. Hinich
Philip Rothman

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Paper provided by East Carolina University, Department of Economics in its series Working Papers with number 9706.

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Handle: RePEc:wop:eacaec:9706

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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. 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)
  2. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February. [Downloadable!] (restricted)
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  3. Falk, Barry, 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1096-1109, October. [Downloadable!] (restricted)
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  4. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Oxford University Press, vol. 31(2), pages 224-36, April.
  5. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
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  6. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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  1. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  2. 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., vol. 17(5), pages 565-578. [Downloadable!]
  3. Barry E. Jones & Travis D. Nesmith, 1999. "Tests for non-linear dynamics in systems of non-stationary economic time series: the case of short-term US interest rates," Finance and Economics Discussion Series 1999-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998. [Downloadable!]
  5. Amado Peiró, 2004. "Are business cycles asymmetric? Some European evidence," Applied Economics, Taylor and Francis Journals, vol. 36(4), pages 335-342, March. [Downloadable!] (restricted)
  6. McCausland, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
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  7. Theodore Panagiotidis & Gianluigi Pelloni, 2005. "Non-Linearity in the Canadian and US Labour Market: Univariate and Multivariate Evidence from a battery of tests," Discussion Paper Series 2005_8, Department of Economics, Loughborough University, revised Aug 2005. [Downloadable!]
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