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Testing time reversibility without moment restrictions

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  • Chen, Yi-Ting
  • Chou, Ray Y.
  • Kuan, Chung-Ming

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  • Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
    • Handle: RePEc:eee:econom:v:95:y:2000:i:1:p:199-218
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    1. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(1), pages 72-88, March.
    2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    3. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    4. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
    5. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
    6. Melvin J. Hinich, 1982. "Testing For Gaussianity And Linearity Of A Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 169-176, May.
    7. Marc Hallin & Claude Lefèvre & Madan Lal Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
    8. Marc Hallin & Youssef Benghabrit, 1996. "Rank-based tests for autoregressive against bilinear serial dependence," ULB Institutional Repository 2013/2057, ULB -- Universite Libre de Bruxelles.
    9. P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 437-453.
    10. 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.
    11. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    12. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 187-195, Suppl. De.
    13. Xiaojun, Li & Morris, Joel M., 1991. "On measuring asymmetry and the reliability of the skewness measure," Statistics & Probability Letters, Elsevier, vol. 12(3), pages 267-271, September.
    14. Woon Wong, 1997. "Frequency Domain Tests Of Multivariate Gaussianity And Linearity," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(2), pages 181-194, March.
    15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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