Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances

Jeong-Ryeol Kim, Christian Albrechts University at Kiel
Stefan Mittnik, Christian Albrechts University at Kiel
Svetlozar T. Rachev, University of California at Santa Barbara

Abstract

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator of the spectral measure yields satisfactory results in the presence of fat-tailed innovations.

Recommended Citation

Jeong-Ryeol Kim, Stefan Mittnik, and Svetlozar T. Rachev (1996) "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances ", Studies in Nonlinear Dynamics & Econometrics: Vol. 1: No. 3, Article 1.
http://www.bepress.com/snde/vol1/iss3/art1

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