Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...

Potential asymmetrical adjustment in UK house prices is considered. The present analysis extends previous research in a number of crucial ways. First, a seminal examination of asymmetry in regionally disaggregated UK house prices is undertaken. Secondly, data are examined which are further...

The statistical properties of UK house prices are considered at a disaggregated level, where disaggregation occurs according to the age, or 'vintage', of the housing. Given the frequency of transactions in the housing market and the sophistication of the estate agent system, it might be expected...

The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and...

This article reexamines the living arrangements of children following their parents’ divorce, using Wisconsin Court Records, updating an analysis that showed relatively small but significant increases in shared custody in the late 1980s and early 1990s. These changes have accelerated markedly...

Leybourne et al. (J. Econom. 87 (1998) 191) have shown the Dickey-Fuller (J. Amer. Statist. Assoc. 74 (1979) 427) unit root test to suffer from severe oversizing in the presence of level breaks. In this paper it is shown that recursive mean adjustment can correct this distortion, even for large...

The properties of modified Dickey-Fuller tests are examined when applied to momentum threshold autoregressive processes. The tests are found to possess high power, outperforming the standard Dickey-Fuller test and even the asymmetric momentum threshold autoregressive unit root test. The results...