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Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances

Author

Listed:
  • Kim Jeong-Ryeol

    (Institute of Statistics and Econometrics Christian Albrechts University at Kiel, Germany)

  • Mittnik Stefan

    (Institute of Statistics and Econometrics Christian Albrechts University at Kiel, Germany)

  • Rachev Svetlozar T.

    (Department of Statistics and Applied Probability University of California Santa Barbara, CA 93106-3110, USA)

Abstract

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator of the spectral measure yields satisfactory results in the presence of fat-tailed innovations.

Suggested Citation

  • Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T., 1996. "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-15, October.
    • Handle: RePEc:bpj:sndecm:v:1:y:1996:i:3:n:1
    DOI: 10.2202/1558-3708.1017
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    Citations

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    Cited by:

    1. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, University Library of Munich, Germany, revised 30 Sep 1998.
    2. Luke Hartigan, 2016. "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers 2016-18, School of Economics, The University of New South Wales.
    3. Belaire-Franch Jorge & Peiro Amado, 2003. "Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-19, April.
    4. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
    5. Jagric Timotej, 2003. "A Nonlinear Approach to Forecasting with Leading Economic Indicators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
    6. W.A. Razzak, 2001. "Business Cycle Asymmetries: International Evidence," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 230-243, January.
    7. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand.

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