A statistical analysis of regime switching under asymmetric error correction

Steven Cook and Sean Holly

Applied Economics Letters, 2002, vol. 9, issue 4, 275-278

Abstract: A novel approach is presented for the analysis of regime switching behaviour based upon the use of Geary's runs test. The proposed method is used to examine recent evidence presented concerning the application of alternative models of asymmetric error correction. The results derived show the runs test to detect a significant difference in regime switching behaviour under the rival models.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:9:y:2002:i:4:p:275-278

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850110065830

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().