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Nonsymmetric error correction revisited

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  • Steven Cook

Abstract

Granger and Lee (Journal of Applied Econometrics, 4, 1989) contains seminal research on nonsymmetric error correction, where the familiar error correction term is partitioned into positive and negative elements. Cook et al. (Applied Economics, 1998) have recently argued that for this no symmetric representation to be valid, the coefficients on these partitioned terms must be both significant and significantly different from each other. As Cook et al. note, these conditions have rarely been satisfied in subsequent applications of the Granger-Lee method. As these issues were not considered by Granger and Lee they are formally tested here using their data. The results derived show this problem to be apparent, but unconsidered, in the seminal study.

Suggested Citation

  • Steven Cook, 1999. "Nonsymmetric error correction revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 6(7), pages 467-470.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:7:p:467-470
    DOI: 10.1080/135048599353014
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    Cited by:

    1. Grasso, Margherita & Manera, Matteo, 2007. "Asymmetric error correction models for the oil-gasoline price relationship," Energy Policy, Elsevier, vol. 35(1), pages 156-177, January.
    2. Mario Denni & G. Frewer, 2006. "New evidence on the relationship beetween crude oil and petroleum product prices," Departmental Working Papers of Economics - University 'Roma Tre' 0061, Department of Economics - University Roma Tre.
    3. Galeotti, Marzio & Lanza, Alessandro & Manera, Matteo, 2003. "Rockets and feathers revisited: an international comparison on European gasoline markets," Energy Economics, Elsevier, vol. 25(2), pages 175-190, March.
    4. Giulietti, Monica & Otero, Jesús & Waterson, Michael, 2020. "Rigidities and adjustments of daily prices to costs: Evidence from supermarket data," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    5. Lo Prete, Chiara & Norman, Catherine S., 2013. "Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS," Energy Economics, Elsevier, vol. 36(C), pages 312-321.

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