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The comparative power of the TR test against simple threshold models
Author(s) -
Rothman P.
Publication year - 1992
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950070513
Subject(s) - bispectrum , simple (philosophy) , monte carlo method , power (physics) , test (biology) , econometrics , statistical physics , mathematics , statistics , physics , spectral density , thermodynamics , paleontology , philosophy , epistemology , biology
Through Monte‐Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considered.