In recent research, Leybourne and Newbold have shown commonly employed tests of cointegration to exhibit spurious rejection when applied to independent unit root processes subject to breaks in either level or trend. In the present paper, this research is extended to consider the finite-sample...

In recent research, Kanioura and Turner (2005) have proposed an F-test for cointegration based upon the joint significance of the level terms in an error correction model. In the present study, the analysis of this test is extended via comparison with the GLS-based cointegration test of Perron...

In this letter tests for asymmetric dynamic behaviour are applied to Australian consumers expenditure. In contrast to recent findings for the UK provided by the seminal work of Holly and Stannett (1995), where asymmetric behaviour is found in the form of heightened levels during booms,...

The empirical powers of recently proposed threshold cointegration tests are examined. Using an empirically realistic data generation process two crucial results are derived. First, relative to the implicitly symmetric Engle-Granger test, threshold cointegration tests lack power even in the...

Cook and co-workers recently uncovered evidence of asymmetric adjustment in the data used by Davidson et al. An economic interpretation was provided in terms of more rapid adjustment of consumers' expenditure during recessionary periods. In the present letter this hypothesis, derived indirectly...

Building upon the results of Rossana and Seater (1995) the impact of temporal aggregation on Stock's (1987) tests of time deformation is examined. Using disaggregated UK consumption data the effect of temporal aggregation is found to be substantial, masking the non-linearity present in higher...

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 diagnostic tests of time deformation presented by Stock are applied to UK output. In contrast to previous findings, significant evidence of time deformation is detected. It is shown that the success of this analysis is due to closely following the approach outlined in the seminal work of...

Following Holly and Stannett, a standard approach has emerged in the implementation of Sichel's tests of business cycle asymmetry, whereby seasonally adjusted data is detrended via Hodrick-Prescott filtering. While Speight and MacMillan have considered the impact of alternative methods of...

The cointegrated nature of UK consumption and income is examined using 'official' seasonally adjusted data and data which have been seasonally adjusted using an alternative well-established method. It is found that the presence of cointegrating relationship is dependent upon the method of...