The properties of asymmetric unit root tests in the presence of mis-specified asymmetry

Economics Bulletin

Volumn 3, Issue 1, 2003, Pages

  Cook, Steve ^a  

^a SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67650318161     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (10)

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2. Cook, S. and Manning, N. (2003) 'The properties of asymmetric unit root tests', Applied Economics (forthcoming).
3. Dickey, D. and Fuller, W. (1979) 'Distribution of the estimators for autoregressive time series with a unit root', Journal of the American Statistical Association 74: 427-431.
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5. Enders, W. and Granger, C. W. J. (1998) 'Unit root tests and asymmetric adjustment with an example using the term structure of interest rates', Journal of Business and Economic Statistics 16: 304-311.
6. Fuller, W. (1996) Introduction to Statistical Time Series (second edition), New York: Wiley.
7. Gale, D. (1996) 'Delay and cycles', Review of Economic Studies 63: 169-98.
8. Krane, S. D. (1994) 'The distinction between inventory holding and stock-out costs: implications for target inventories, asymmetric adjustment and the effect of aggregation on production smoothing', International Economic Review 35: 117-136.
9. Tong, H. (1983) Threshold models in non-linear time-series analysis, New York: Springer-Verlag.
10. Tong, H. (1990) Non-linear time-series: a dynamical approach, Oxford: Oxford University Press.