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FREQUENCY-DOMAIN TEST OF TIME REVERSIBILITY

Published online by Cambridge University Press:  01 March 1998

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

We introduce a frequency-domain test of time reversibility, the REVERSE test. It is based on the bispectrum. We analytically establish the asymptotic distribution of the test and also explore its finite-sample properties through Monte-Carlo simulation. Following other researchers who demonstrated that the problem of business-cycle asymmetry can be stated as whether macroeconomic fluctuations are time irreversible, we use the REVERSE test as a frequency-domain test of business-cycle asymmetry. Our empirical results show that time irreversibility is the rule rather than the exception for a representative set of macroeconomic time series for five OECD countries.

Keywords

NonlinearityAsymmetryBusiness CycleBispectrum
Type
Research Article
Information
Macroeconomic Dynamics , Volume 2 , Issue 1 , March 1998 , pp. 72 - 88
Copyright
© 1998 Cambridge University Press

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