Journal article | Zeitschriftenartikel
A simple multivariate test for asymmetry
Since many macroeconomic models are linear, it is not desirable to use them with an asymmetric dependent variable. In this paper we formulate a univariate test for symmetry, based on the third central moment, and extend it to a multivariate test; the test does not require modelling and it is robust against serial correlation, autoregressive conditional heteroscedasticity and non-normality. In the empirical application of the test it is found that orthodox theory seem to be supported; consumption expenditure on durable goods is found to be symmetric while consumption expenditure on nondurable goods is asymmetric for the US and UK, with peaks being higher than troughs are deep. Also, the empirical importance of the choice between the univariate and the multivariate test for possibly correlated series is underscored; the results from the two approaches clearly differ. Given the widespread practice of using consumption expenditure on nondurable goods as the dependent variable in linear models for the US and the UK, our results might be noteworthy.
- Umfang
-
Seite(n): 1405-1416
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Applied Economics, 41(11)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bjellerup, Mårten
Holgersson, Thomas
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigte Staaten von Amerika
- (wann)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-239957
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Bjellerup, Mårten
- Holgersson, Thomas
Entstanden
- 2009
Ähnliche Objekte (12)
A simple multivariate test for asymmetry
Multivariate Tests for Phase Capacity
Fascism was not a developmental dictatorship: evidence from simple tests
Testing asymmetry in financial time series
Studying co-movements in large multivariate data prior to multivariate modelling
Gram-Charlier densities: A multivariate approach
An empirical analysis of multivariate copula models
A Multivariate Jump-Driven Financial Asset Model
Multivariate Logit-Modelle für ordinalskalierte abhängige Variablen
Comparing coefficients of nonlinear multivariate regression models between equations
Gender asymmetry in the playing space: theoretical reflection and model for the analysis
Transforming the time scale in linear multivariate growth curve models
A simple multivariate test for asymmetry
Multivariate Tests for Phase Capacity
Fascism was not a developmental dictatorship: evidence from simple tests
Testing asymmetry in financial time series
Studying co-movements in large multivariate data prior to multivariate modelling
Gram-Charlier densities: A multivariate approach
An empirical analysis of multivariate copula models
A Multivariate Jump-Driven Financial Asset Model
Multivariate Logit-Modelle für ordinalskalierte abhängige Variablen
Comparing coefficients of nonlinear multivariate regression models between equations
Gender asymmetry in the playing space: theoretical reflection and model for the analysis
Transforming the time scale in linear multivariate growth curve models
A simple multivariate test for asymmetry
Multivariate Tests for Phase Capacity
Fascism was not a developmental dictatorship: evidence from simple tests
Testing asymmetry in financial time series
Studying co-movements in large multivariate data prior to multivariate modelling
Gram-Charlier densities: A multivariate approach
An empirical analysis of multivariate copula models
A Multivariate Jump-Driven Financial Asset Model
Multivariate Logit-Modelle für ordinalskalierte abhängige Variablen
Comparing coefficients of nonlinear multivariate regression models between equations
Gender asymmetry in the playing space: theoretical reflection and model for the analysis