All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Jorge Belaire-Franch and Dulce Contreras
''A power comparison among tests for time reversibility''
( 2004, Vol. 3 No.23 )
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
Manuscript Received : Jul 07 2004 Manuscript Accepted : Jul 07 2004

  This abstract has been downloaded 1889 times                The Full PDF of this paper has been downloaded 153793 times