The Comparative Power of the TR Test against Simple Threshold Models

Philip Rothman ()

Journal of Applied Econometrics, 1992, vol. 7, issue S, S187-95

Abstract: Through Monte-Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considered. Copyright 1992 by John Wiley & Sons, Ltd.

Date: 1992
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