The properties of the Granger-Lee ( Journal of Applied Econometrics , 4 , S145-59, 1989) asymmetric error correction model under consistent-threshold estimation are considered, with the relationship between the threshold range and rejection of the symmetry hypothesis examined. The results of Monte Carlo experimentation show rejection of symmetry to depend positively upon the size of the threshold range employed. However, even if consistent-threshold estimation is employed with a relatively small threshold range, the resulting test exhibits a substantial increase in power relative to the use of the Granger-Lee test is its original form using an imposed deterministic threshold. This increase in power and its dependence upon the size of the threshold range are further illustrated by application to the data of the seminal study of Granger and Lee.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 10 (2003) Issue (Month): 10 (August) Pages: 611-616 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: