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Article
Testing for asymmetry in economic time series using bootstrap methods
Economics Bulletin (2001)
  • Claudio Lupi, University of Molise
  • Patrizia Ordine, University of Calabria
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,
  • Bootstrap
Publication Date
2001
Citation Information
Claudio Lupi and Patrizia Ordine. "Testing for asymmetry in economic time series using bootstrap methods" Economics Bulletin Vol. 3 Iss. 8 (2001)
Available at: http://works.bepress.com/claudio_lupi/19/