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Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics

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  • Ramsey, James B.
  • Rothman, Philip

Abstract

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Suggested Citation

  • Ramsey, James B. & Rothman, Philip, 1988. "Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics," Working Papers 88-39, C.V. Starr Center for Applied Economics, New York University.
  • Handle: RePEc:cvs:starer:88-39
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    Cited by:

    1. repec:taf:quantf:v:17:y:2017:i:2:p:171-188 is not listed on IDEAS
    2. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Research Discussion Papers 9/1995, Bank of Finland.
    3. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
    4. Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
    5. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
    6. Takala, Kari & Virén, Matti, 1994. "Chaos and nonlinear dynamics : evidence from Finland," Research Discussion Papers 11/1994, Bank of Finland.

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    Keywords

    econometrics;

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