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DHSY revisited: the role of asymmetries

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Author Info

  • Steven Cook
  • Sean Holly
  • Paul Turner

Abstract

Davidson et al.'s data set is used to demonstrate the existence of a significant asymmetry in the adjustment of consumption towards equilibrium. The Granger-Lee and Escribano-Pfann methods of partitioning the error correction term are compared and it is shown that the latter produces better results in this case. It is concluded that adjustment is faster under conditions of recession than it is during boom periods.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/000368499323742
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 31 (1999)
Issue (Month): 7 ()
Pages: 775-778

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Handle: RePEc:taf:applec:v:31:y:1999:i:7:p:775-778

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Cited by:
  1. 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.
  2. Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," Working Paper Series in Economics and Finance 517, Stockholm School of Economics.
  3. 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.
  4. Oladunjoye, Olusegun, 2008. "Market structure and price adjustment in the U.S. wholesale gasoline markets," Energy Economics, Elsevier, vol. 30(3), pages 937-961, May.
  5. 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.
  6. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Working Papers 05-41, Bank of Canada.
  7. Alan Carruth & Andrew Dickerson, 2003. "An asymmetric error correction model of UK consumer spending," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 619-630.
  8. Raghbendra Jha & Hari K. Nagarajan, 2002. "Noisy Vertical Markets," ASARC Working Papers 2002-04, The Australian National University, Australia South Asia Research Centre.

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