THE COMPARATIVE POWER OF THE TR TEST AGAINST SIMPLE THRESHOLD MODELS

被引：16

作者：

ROTHMAN, P

机构：

[1] East Carolina University, Greenville, North Carolina, 27858-4353, Brewster Building

来源：

JOURNAL OF APPLIED ECONOMETRICS | 1992年 / 7卷

关键词：

D O I：

10.1002/jae.3950070513

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：S187 / S195

页数：9

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