Abstract
In this paper we suggest a procedure for testing reversibil- ity of time series. Our approach is based on a necessary and sucient condition for time reversibility of linear models. An attractive feature of the procedure is that in converse with other approaches it doesn't require important assumptions, especially existence of moments of or- der higher than two. Our simulation confirms the procedure and some empirical examples are given.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.