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...

This paper offers evidence of the asymmetric effect of monetary policy on economic activity. First, asymmetric adjustment is captured in three macroeconomic relationships for investment, the consumer price deflator, inventories and house prices. These relationships are then embedded in a small...

The power of the recently proposed Escribano–Pfann (1998) model of asymmetry is examined via Monte Carlo simulation. As found previously for an alternative asymmetric model, the power of this model is seen to be low.

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...

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...