Bootstrap LR Tests for Sign and Amplitude Asymmetries
AbstractUsing 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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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 262.
Date of creation: 01 Apr 2001
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Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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Threshold autoregression; Monte Carlo; Exchange rates.;
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