On Time Reversibility of Linear Time Series

Authors

  • M. Sharifdoust
  • S. Mahmoodi

Keywords:

Linear time series, time reversibility, stationaryprocess, testing hypothesis

Abstract

In this paper we suggest a procedure for testing reversibilityof time series. Our approach is based on a necessary and sufficientcondition for time reversibility of linear models. An attractive featureof the procedure is that in converse with other approaches it doesn’trequire important assumptions, especially existence of moments of orderhigher than two. Our simulation confirms the procedure and some empirical examples are given.

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Published

2013-09-14

Issue

Vol. 6

Section

Vol. 6, No. 4, (2012)

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