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The Power of Tests for Non-Linearity: The Escribano–Pfann Model

Author

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  • Steven Cook
  • Sean Holly
  • Paul Turner

Abstract

The power of the recently proposed Escribano–Pfann (1998) model of asymmetry is examined via Monte Carlo simulation. As found previously for an alternative asymmetric model, the power of this model is seen to be low.

Suggested Citation

  • Steven Cook & Sean Holly & Paul Turner, 2000. "The Power of Tests for Non-Linearity: The Escribano–Pfann Model," Computational Economics, Springer;Society for Computational Economics, vol. 15(3), pages 223-226, June.
    • Handle: RePEc:kap:compec:v:15:y:2000:i:3:p:223-226
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    Cited by:

    1. Henry de-Graft Acquah, 2013. "A Comparison of Bootstrap and Monte Carlo Approaches to Testing for Symmetry in the Granger and Lee Error Correction Model," Information Management and Business Review, AMH International, vol. 5(5), pages 240-244.
    2. 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.

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    Keywords

    Monte Carlo; asymmetry;

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