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Bootstrap LR Tests for Sign and Amplitude Asymmetries

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Author Info
Jerry Coakley; Ana-Maria Fuertes

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Abstract

Using threshold autoregressive specifications, this paper develops new parametric tests for level asymmetries. It proposes bootstrap likelihood ratio statistics to test the symmetric adjustment null against sign and amplitude asymmetries or a combination of both. Monte Carlo simulations show that the proposed tests have good size properties and reasonable power for n>=300. An application to three US dollar nominal exchange rates, 1973:2-2000:2, shows pervasive evidence of amplitude asymmetry.\t

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 262.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:262

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Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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Related research
Keywords: Threshold autoregression Monte Carlo Exchange rates.

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

Statistics
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This page was last updated on 2008-10-9.

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