A Test of Time Reversibility Based on L-Moments with an Application to the Business Cycles of the G7 Economies

26 Pages Posted: 22 Jun 2020

See all articles by Andrea Bastianin

Andrea Bastianin

University of Milan; Fondazione Eni Enrico Mattei

Matteo Manera

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, Italy

Date Written: June 17, 2020

Abstract

We study the performance of tests of distributional symmetry based on the coefficient of skewness and on L-moments and present a bootstrap implementation of such tests that is suitable in time series applications. We show with Monte Carlo simulations that both tests are correctly sized – provided that their null distribution is approximated with the bootstrap – and that the procedure based on L-moments has more power than that based on the conventional coefficient of skewness. An empirical application analyses the symmetry of business cycles for the G7 countries implementing tests of symmetry as tools to investigate time reversibility.

Keywords: business cycle; L-moments; symmetry; skewness; time reversibility

JEL Classification: C22, C46, C52, C55, E32

Suggested Citation

Bastianin, Andrea and Manera, Matteo, A Test of Time Reversibility Based on L-Moments with an Application to the Business Cycles of the G7 Economies (June 17, 2020). University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 445, Available at SSRN: https://ssrn.com/abstract=3629721

Andrea Bastianin

University of Milan ( email )

Via Conservatorio, 7
Milan, 20122
Italy

HOME PAGE: http://https://www.unimi.it/it/ugov/person/andrea-bastianin

Fondazione Eni Enrico Mattei ( email )

C.so Magenta 63
Milano, 20123
Italy

Matteo Manera (Contact Author)

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) ( email )

Via Bicocca degli Arcimboldi, 8
Milan, 20126
Italy
+39 02 6448 5819 (Phone)
+39 02 6448 5878 (Fax)

HOME PAGE: http://www.matteomanera.it

Fondazione Eni Enrico Mattei (FEEM), Milan, Italy ( email )

Corso Magenta, 63
Milan, 20123
Italy
+39 02 520 36944 (Phone)

HOME PAGE: http://www.feem.it

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