A BOOTSTRAP APPROACH TO TESTING FOR SYMMETRY IN THE GRANGER AND LEE ASYMMETRIC ERROR CORRECTION MODEL
The power of the Granger and Lee (1989) model of asymmetry is examined via bootstrap simulation. The results of the bootstrap simulation indicate that the Granger and Lee model has low power in rejecting the null hypothesis of symmetric adjustments. The power of the test depends on the bootstrap sam...
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| Format: | Article |
| Language: | English |
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Russian Journal of Agricultural and Socio-Economic Sciences
2012-11-01
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| Series: | Russian Journal of Agricultural and Socio-Economic Sciences |
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| Online Access: | http://www.rjoas.com/issue-2012-11/i011_article_2012_06.pdf |