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DHSY revisited: the role of asymmetries

Author

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  • Steven Cook
  • Sean Holly
  • Paul Turner

Abstract

Davidson et al.'s data set is used to demonstrate the existence of a significant asymmetry in the adjustment of consumption towards equilibrium. The Granger-Lee and Escribano-Pfann methods of partitioning the error correction term are compared and it is shown that the latter produces better results in this case. It is concluded that adjustment is faster under conditions of recession than it is during boom periods.

Suggested Citation

  • Steven Cook & Sean Holly & Paul Turner, 1999. "DHSY revisited: the role of asymmetries," Applied Economics, Taylor & Francis Journals, vol. 31(7), pages 775-778.
  • Handle: RePEc:taf:applec:v:31:y:1999:i:7:p:775-778
    DOI: 10.1080/000368499323742
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    References listed on IDEAS

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    1. Cook, Steven, 1997. "Forecasting the Growth in Consumers' Expenditure: The Treasury Model," Cambridge Working Papers in Economics 9727, Faculty of Economics, University of Cambridge.
    2. Frederick C. Mills, 1927. "Introduction to "The Behavior of Prices"," NBER Chapters,in: The Behavior of Prices, pages 31-36 National Bureau of Economic Research, Inc.
    3. Frederick C. Mills, 1927. "The Behavior of Prices," NBER Books, National Bureau of Economic Research, Inc, number mill27-1.
    4. Frederick C. Mills, 1927. "Appendix to "The Behavior of Prices"," NBER Chapters,in: The Behavior of Prices, pages 441-586 National Bureau of Economic Research, Inc.
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    Citations

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    Cited by:

    1. Raghbendra Jha & Hari K. Nagarajan, 2002. "Noisy Vertical Markets," ASARC Working Papers 2002-04, The Australian National University, Australia South Asia Research Centre.
    2. Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance 517, Stockholm School of Economics.
    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. Alan Carruth & Andrew Dickerson, 2003. "An asymmetric error correction model of UK consumer spending," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 619-630.
    5. 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.
    6. 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.
    7. Oladunjoye, Olusegun, 2008. "Market structure and price adjustment in the U.S. wholesale gasoline markets," Energy Economics, Elsevier, vol. 30(3), pages 937-961, May.
    8. 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.
    9. Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas, 2008. "Smooth Transition Models in Price Transmission," Working Paper series 04_08, Rimini Centre for Economic Analysis.
    10. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Staff Working Papers 05-41, Bank of Canada.

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