Threshold specification for asymmetric error correction models

Steven Cook and Sean Holly

Applied Economics Letters, 2002, vol. 9, issue 11, 711-713

Abstract: The consistent threshold estimation method is used to improve the threshold specification of the Granger-Lee asymmetric error correction model. Although only previously considered in the context of univariate analysis, the approach is found to uncover asymmetry undetected under the typical mean-based partitioning scheme of the Granger-Lee method.

Date: 2002
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DOI: 10.1080/13504850110108111

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