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Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Claudio Lupi
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.