Bootstrap LR Tests for Sign and Amplitude Asymmetries

Jerry Coakley; Ana-Maria Fuertes
Authors registered in the RePEc Author Service: Ana-Maria Fuertes and Jerry Coakley

No 262, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: Using threshold autoregressive specifications, this paper develops new parametric tests for level asymmetries. It proposes bootstrap likelihood ratio statistics to test the symmetric adjustment null against sign and amplitude asymmetries or a combination of both. Monte Carlo simulations show that the proposed tests have good size properties and reasonable power for n>=300. An application to three US dollar nominal exchange rates, 1973:2-2000:2, shows pervasive evidence of amplitude asymmetry.\t

Keywords: Threshold autoregression; Monte Carlo; Exchange rates. (search for similar items in EconPapers)
JEL-codes: C15 C22 C52 (search for similar items in EconPapers)
Date: 2001-04-01
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Citations: View citations in EconPapers (2)

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