Frequency domain and time series properties of asymmetric error correction terms

Steven Cook

Applied Economics, 2000, vol. 32, issue 3, 297-304

Abstract: The now familiar error correction model has recently been extended to allow for the modelling of asymmetric behaviour, resulting in the development of the asymmetric error correction model. Previous workers have undertaken studies upon which the 'classic', implicitly symmetric, error correction model was developed. It was found that the Escribo-Pfann method approach detected significant asymmetries while the Granger-Lee did not. In this paper the properties of the alternative methods are analysed in detail to examine why one method met with success, but not the other. Via the use of estimated sample spectral densities and correlograms, a significant property of the Granger-Lee method is uncovered. This property, particularly relevant in application to consumers' expenditure, has a wider relevance, helping explain why the approach has met with limited success.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/000368400322723 (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:applec:v:32:y:2000:i:3:p:297-304

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/000368400322723

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

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