On the validity of tests for asymmetry in residual-based threshold cointegration models

Artikel

This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases of small sample sizes or slow speed of adjustment. Further, we provide simulation evidence that tests for long-run asymmetry are generally oversized if the threshold parameter is estimated by conditional least squares and show that bootstrap techniques can be used to obtain the correct size.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-13 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models ; Statistical Simulation Methods: General
• Thema: asymmetric price transmission ; bootstrap ; MTAR ; residual-based ; SETAR ; threshold cointegration

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schild, Karl-Heinz ; Schweikert, Karsten
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/econometrics7010012
• Handle: http://hdl.handle.net/10419/247512
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ