Davidson et al.'s data set is used to demonstrate the existence of a significant asymmetry in the adjustment of consumption towards equilibrium. The Granger-Lee and Escribano-Pfann methods of partitioning the error correction term are compared and it is shown that the latter produces better...

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...

The asymmetric unit root tests of Enders and Granger (Journal of Business and Economic Statistics, 16, 304-11, 1998) are examined using consistent threshold estimation and the original two-step procedure. In contrast to earlier studies, the ability of the tests to jointly reject the unit root...

The literature on testing for the presence of cyclical asymmetry in UK consumers' expenditure is extended via the application of nonparametric tests to data subject to a higher degree of disaggregation than considered in previous studies. The results obtained at an intermediate level of...

The size distortion of the Dickey-Fuller (Journal of the American Statistical Association, 74, pp. 427-31, 1979) unit root test is examined in the presence of structural changes in both the level and variance of integrated time series. In contrast to previous studies, the empirically relevant...

A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth nonlinear trend. Monte-Carlo simulation is employed to derive finite-sample critical values for...