A statistical analysis of regime switching under asymmetric error correction

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.

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Year of publication:	2002
Authors:	Cook, Steven ; Holly, Sean
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 4, p. 275-278
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009202679