The Power of Tests for Non-Linearity: The Escribano–Pfann Model

Steven Cook, Sean Holly and Paul Turner ()

Computational Economics, 2000, vol. 15, issue 3, 223-226

Abstract: The power of the recently proposed Escribano–Pfann (1998) model of asymmetry is examined via Monte Carlo simulation. As found previously for an alternative asymmetric model, the power of this model is seen to be low.

Keywords: Monte Carlo; asymmetry (search for similar items in EconPapers)
Date: 2000
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