Extended Enders and Siklos Test for Threshold Cointegration

• Autorzy: Magdalena Osińska , Maciej Gałecki
• Języki publikacji: EN

Abstrakty

EN

In our previous studies, we modified the Enders and Siklos test for threshold error correction to a version allowing the individual threshold variable to be responsible for the asymmetric mechanism of the system. The idea was to learn about the threshold mechanism both in the long and short run. In this paper, we tested for the asymmetry of the adjustment of the error correction mechanism towards the long-run path. The subsamples within regimes differ in size with respect to the threshold value. The novelty lies in the division of both short and long-run variables according to a threshold variable with a given threshold value (assumed or estimated). We named the test extended Enders and Siklos test (exE-S). The present study focuses on the power and size of the modified procedure. A simulation study was designed, computed and conducted. The results are favourable for the proposed approach, although they strongly depend on the difference in values between the adjustment parameters in the regimes. (original abstract)

Słowa kluczowe

PL

Wzrost gospodarczy

EN

Economic growth

• Czasopismo: Przegląd Statystyczny
• Rocznik: 2022
• Tom: 69
• Numer: z. 1
• Strony: 1-20

Twórcy

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń

autor

Maciej Gałecki

• b University of Łódź, Faculty of Economics and Sociology

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Identyfikatory

DOI

10.5604/01.3001.0015.8669