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The power of tests for non-linearity: the case of Granger-Lee asymmetry

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  • Cook, Steven
  • Holly, Sean
  • Turner, Paul

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  • Cook, Steven & Holly, Sean & Turner, Paul, 1999. "The power of tests for non-linearity: the case of Granger-Lee asymmetry," Economics Letters, Elsevier, vol. 62(2), pages 155-159, February.
  • Handle: RePEc:eee:ecolet:v:62:y:1999:i:2:p:155-159
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    References listed on IDEAS

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    1. Holly, Sean & Turner, Paul, 2001. "Asymmetric Adjustment Costs, Asymmetric Pricing and Employment: Evidence from the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(1), pages 69-81, February.
    2. Arden, R. & Holly, S. & Turner, P, 1997. "Asymmetries in Private Sector Investment: An Empirical Investigation," Cambridge Working Papers in Economics 9716, Faculty of Economics, University of Cambridge.
    3. Arden, R. & Holly, S. & Turner, P., 1997. "The Asymmetric Adjustment of Prices: Theory and Evidence from UK Manufacturing," Cambridge Working Papers in Economics 9715, Faculty of Economics, University of Cambridge.
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    Cited by:

    1. Wlazlowski, Szymon & Giulietti, Monica & Binner, Jane & Milas, Costas, 2009. "Price dynamics in European petroleum markets," Energy Economics, Elsevier, vol. 31(1), pages 99-108, January.
    2. Ana Maria Iregui & Jesus Otero, 2003. "On the dynamics of unemployment in a developing economy: Colombia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 895-898.
    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. Steven Cook, 2003. "A sensitivity analysis of threshold determination for asymmetric error correction models," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 611-616.
    5. repec:asi:ajoerj:2013:p:420-432 is not listed on IDEAS
    6. 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.
    7. Kuper, Gerard H., 2012. "Inventories and upstream gasoline price dynamics," Energy Economics, Elsevier, vol. 34(1), pages 208-214.
    8. Corrado, Luisa & Holly, Sean, 2003. "Nonlinear Phillips curves, mixing feedback rules and the distribution of inflation and output," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 467-492, December.
    9. 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.
    10. Afshin Honarvar, 2010. "Modeling of Asymmetry between Gasoline and Crude Oil Prices: A Monte Carlo Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 237-262, October.
    11. Kaufmann, Robert K. & Bradford, Andrew & Belanger, Laura H. & Mclaughlin, John P. & Miki, Yosuke, 2008. "Determinants of OPEC production: Implications for OPEC behavior," Energy Economics, Elsevier, vol. 30(2), pages 333-351, March.
    12. Afshin Honarvar, 2009. "Theoretical explanations for asymmetric relationships between gasoline and crude oil prices with focus on the US market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 33(3-4), pages 205-224, September.
    13. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
    14. Sean Holly & Paul Turner & Melvyn Weeks, 2003. "Asymmetric Adjustment and Bias in Estimation of an Equilibrium Relationship from a Cointegrating Regression," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 195-202, June.
    15. 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.
    16. repec:eee:eneeco:v:68:y:2017:i:c:p:515-521 is not listed on IDEAS

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