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FREQUENCY-DOMAIN TEST OF TIME REVERSIBILITY

Published online by Cambridge University Press:  01 March 1998

Melvin J. Hinich
Affiliation:
University of Texas at Austin
Philip Rothman
Affiliation:
East Carolina University

Abstract

We introduce a frequency-domain test of time reversibility, theREVERSE test. It is based on the bispectrum. We analyticallyestablish the asymptotic distribution of the test and also exploreits finite-sample properties through Monte-Carlo simulation.Following other researchers who demonstrated that the problem ofbusiness-cycle asymmetry can be stated as whether macroeconomicfluctuations are time irreversible, we use the REVERSE test as afrequency-domain test of business-cycle asymmetry. Our empiricalresults show that time irreversibility is the rule rather than theexception for a representative set of macroeconomic time series forfive OECD countries.

Information

Type
Research Article
Copyright
© 1998 Cambridge University Press

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