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A power comparison among tests for time reversibility

  • Jorge Belaire-Franch


    (Department of Economic Analysis, University of Valencia)

  • Dulce Contreras


    (Department of Economic Analysis, University of Valencia)

Since time reversibility (TR) is a necessary condition for an independent and identically distributed (iid) sequence, several tests for TR have been suggested to be applied as tests for model misspecification. In this paper, we compare the power of two well known TR tests against two situations: 1) the fitted model is a linear ARMA when the true data generating process is a nonlinear-in-mean model (either threshold autorregresive or bilinear), and 2) the fitted model is a symmetric GARCH model but the true process belongs to the asymmetric GARCH family (either EGARCH or GJR).

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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 23 ()
Pages: 1-17

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Handle: RePEc:ebl:ecbull:eb-04c40003
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  1. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  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.
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