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

• Autorzy: Schild Karl-Heinz
• Języki publikacji: EN

Słowa kluczowe

EN

asymmetric price transmission; MTAR; SETAR; threshold cointegration

• Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Czasopismo: Śląski Przegląd Statystyczny
• Rocznik: 2020
• Numer: 18 (24)
• Strony: 281-288

Twórcy

autor

Schild Karl-Heinz

• Philipps University of Marburg, Germany,

Bibliografia

• Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21(1), 520-533. v.Cramon-Taubadel S., Meyer J. (2001), Asymmetric price transmission, fact or artefact? (Working Paper). University Göttingen.
• Enders, W. (2001). Improved critical values for the Enders-Granger unit-root test. Applied Economics Letters, 8(4), 257-261.
• Enders, W., and Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. J. Busin. & Econ. Stat., 16(3), 304-311.
• Enders, W., and Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
• Engle, R. F., and Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation and testing. Econometrica, 55(2), 251-276.
• Galeotti, M., Lanza, A., and Manera, M. (2003). Rockets and feathers revisited: an international comparison on European gasoline markets. Energy Economics, 25(2), 175-190.
• Honarvar, A. (2010). Modeling of asymmetry between gasoline and crude oil prices: A Monte Carlo comparison. Comput. Econ. 36, 237-262.
• Schild, K. H., and Schweikert, K. (2019). On the validity of tests for asymmetry in residualbased threshold conintegration models. Econometrics, 7(1).
• Schweikert, K. (2013). Asymmetrische Adjustierung zwischen Tankstellen- und Rohölpreisen in Deutschland: Ein TAR Fehlerkorrekturmodell mit endogen bestimmtem Strukturbruch. Master Thesis. University of Marburg.