Testing for asymmetry in economic time series using bootstrap methods

Claudio Lupi and Patrizia Ordine ()

Economics Bulletin, 2001, vol. 3, issue 8, 1-12

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.

Keywords: Asymmetric; time; series (search for similar items in EconPapers)
Date: 2001-07-26
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