Bootstrap LR Tests for Sign and Amplitude Asymmetries
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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|Date of creation:||01 Apr 2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html|
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