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The properties of asymmetric unit root tests in the presence of mis-specified asymmetry

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Listed:
  • Steve Cook

    (University of Wales Swansea)

Abstract

The seminal analysis of Enders and Granger (1998) is extended to examine the properties of asymmetric unit root tests when the nature of the actual asymmetric adjustment process underlying the observed data is unknown. The analysis is further extended by considering joint testing for asymmetric stationarity in addition to unit root testing. It is shown that the momentum-threshold autoregressive (MTAR) test outperforms the threshold autoregressive (TAR) test. The results indicate that when employing asymmetric unit root tests, practitioners will tend to detect asymmetry of an MTAR rather TAR nature, irrespective of the form of asymmetry actually present in the data.

Suggested Citation

  • Steve Cook, 2003. "The properties of asymmetric unit root tests in the presence of mis-specified asymmetry," Economics Bulletin, AccessEcon, vol. 3(10), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-03c20003
    as

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    References listed on IDEAS

    as
    1. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    2. Krane, Spencer D, 1994. "The Distinction between Inventory Holding and Stockout Costs: Implications for Target Inventories, Asymmetric Adjustment, and the Effect of Aggregation on Production Smoothing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 117-136, February.
    3. Douglas Gale, 1996. "Delay and Cycles," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(2), pages 169-198.
    4. Avinash Dixit, 1992. "Investment and Hysteresis," Journal of Economic Perspectives, American Economic Association, vol. 6(1), pages 107-132, Winter.
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    More about this item

    Keywords

    Asymmetry;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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