Testing for asymmetry in economic time series using bootstrap methods
In this paper we show that phase-scrambling bootstrap offers a natural framework for asymmetry testing in economic time series. A comparison with other bootstrap schemes is also sketched. A Monte Carlo analysis is carried out to evaluate the size and power properties of the phase-scrambling bootstrap-based test.
Volume (Year): 3 (2001)
Issue (Month): 8 ()
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References listed on IDEAS
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- Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1, June.
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- 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 307-328, April.
- Z. Lomnicki, 1961. "Tests for departure from normality in the case of linear stochastic processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 4(1), pages 37-62, December.
- J. Bradford De Long & Lawrence H. Summers, 1984. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc. Full references (including those not matched with items on IDEAS)
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