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.

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Year of publication:	2001
Authors:	Lupi, Claudio ; Ordine, Patrizia
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2001, 8, p. 1-12
Publisher:	AccessEcon
Subject:	Asymmetric time series

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094856