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Regime switching and the forecasting bias of asymmetric error correction models

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  • Steven Cook

Abstract

The potential forecasting bias of asymmetric error correction models is examined via an application of the Granger and Lee and Escribano and Pfann specifications to the earlier data of Davidson et al. Cook's results concerning sample space regularities are extended, with partitioning of the error correction term shown to induce regularities in the forecasting space in the form of forecasting bias.

Suggested Citation

  • Steven Cook, 2001. "Regime switching and the forecasting bias of asymmetric error correction models," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 569-571.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:9:p:569-571
    DOI: 10.1080/13504850010025673
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    References listed on IDEAS

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    1. Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
    2. 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.
    3. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
    4. Steven Cook & Sean Holly & Paul Turner, 1999. "DHSY revisited: the role of asymmetries," Applied Economics, Taylor & Francis Journals, vol. 31(7), pages 775-778.
    5. Steven Cook, 2000. "Frequency domain and time series properties of asymmetric error correction terms," Applied Economics, Taylor & Francis Journals, vol. 32(3), pages 297-304.
    6. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
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