Frequency domain and time series properties of asymmetric error correction terms
AbstractThe now familiar error correction model has recently been extended to allow for the modelling of asymmetric behaviour, resulting in the development of the asymmetric error correction model. Previous workers have undertaken studies upon which the 'classic', implicitly symmetric, error correction model was developed. It was found that the Escribo-Pfann method approach detected significant asymmetries while the Granger-Lee did not. In this paper the properties of the alternative methods are analysed in detail to examine why one method met with success, but not the other. Via the use of estimated sample spectral densities and correlograms, a significant property of the Granger-Lee method is uncovered. This property, particularly relevant in application to consumers' expenditure, has a wider relevance, helping explain why the approach has met with limited success.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 32 (2000)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," Working Paper Series in Economics and Finance 517, Stockholm School of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.