Cook recently revisited the seminal study of Granger and Lee on asymmetric error correction. Formal criteria found asymmetry to be detected less frequently than was initially suggested by informal inspection. Further results on the detection of asymmetry using the original author's data are...

Granger and Lee (Journal of Applied Econometrics, 4, 1989) contains seminal research on nonsymmetric error correction, where the familiar error correction term is partitioned into positive and negative elements. Cook et al. (Applied Economics, 1998) have recently argued that for this no...

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...

In 1989 and 1992, Thomas noted the divergence of the "stylised history" of the consumption function from the true sequence of events in its early history. To the list of overlooked elements can now be added the debate on the cyclical nature of consumption considered here. Analysis of the data...

The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers’ expenditure provides further support for this hypothesis,...

In this paper three hypotheses concerning the cyclicality of U.S. consumers' expenditure are proposed. These hypotheses are based upon the distinction between expenditure on durable and non-durable goods. It is argued that durability will lead to increased cyclical sensitivity and that this...

In this letter the question of whether the consumption-income ratio is mean reverting is revisited. To address known problems of low power associated with previous studies, more powerful modifications of the Dickey-Fuller (DF) test are applied. The results of weighted symmetric and recursively...

The literature on testing for the presence of cyclical asymmetry in consumers' expenditure is extended via the application of tests for time deformation to UK data subject to a high degree of disaggregation. The initial empirical findings provide evidence of significant time deformation in...

The properties of the Granger-Lee (Journal of Applied Econometrics, 4, S145-59, 1989) asymmetric error correction model under consistent-threshold estimation are considered, with the relationship between the threshold range and rejection of the symmetry hypothesis examined. The results of Monte...