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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
    as

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    References listed on IDEAS

    as
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    Keywords

    Asymmetric time series;

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