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Testing for asymmetry in economic time series using bootstrap methods

Author

Listed:
  • Claudio Lupi

    () (ISAE - Institute for Studies and Economic Analyses)

  • Patrizia Ordine

    () (University of Calabria, Dept. of Economics & Statistics)

Abstract

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.

Suggested Citation

  • Claudio Lupi & Patrizia Ordine, 2001. "Testing for asymmetry in economic time series using bootstrap methods," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-12.
  • Handle: RePEc:ebl:ecbull:eb-01c40004
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    References listed on IDEAS

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    1. Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1, January.
    2. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-236, April.
    3. 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.
    4. 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.
    5. J. Bradford De Long & Lawrence H. Summers, 1984. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
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    Keywords

    Asymmetric time series;

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