A test of time reversibility based on Lmoments with an application to the business cycles of the G7 economies

Andrea Bastianin and Matteo Manera

No 445, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: We study the performance of tests of distributional symmetry based on the coefficient of skewness and on L-moments and present a bootstrap implementation of such tests that is suitable in time series applications. We show with Monte Carlo simulations that both tests are correctly sized - provided that their null distribution is approximated with the bootstrap - and that the procedure based on L-moments has more power than that based on the conventional coefficient of skewness. An empirical application analyses the symmetry of business cycles for the G7 countries implementing tests of symmetry as tools to investigate time reversibility.

Keywords: business cycle; L-moments; symmetry; skewness; time reversibility. (search for similar items in EconPapers)
JEL-codes: C22 C46 C52 C55 E32 (search for similar items in EconPapers)
Pages: 26
Date: 2020-06, Revised 2020-06
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