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...

The consistent threshold estimation method is used to improve the threshold specification of the Granger-Lee asymmetric error correction model. Although only previously considered in the context of univariate analysis, the approach is found to uncover asymmetry undetected under the typical...