A power comparison among tests for time reversibility

Jorge Belaire-Franch () and Dulce Contreras ()
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Dulce Contreras: Department of Economic Analysis, University of Valencia

Economics Bulletin, 2004, vol. 3, issue 23, pages 1-17

Abstract: 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).

Keywords: CCK test; misspecification; RR test; Time reversibility (search for similar items in EconPapers)
JEL-codes: C4 C4 (search for similar items in EconPapers)
Date: 2004-07-07
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