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Business cycle asymmetry is examined using annual observations on GDP for 22 economies over the period 1870 to 1994. The present paper extends recent research in a number of ways. First, a non-parametric testing procedure is adopted which is robust to outliers. Second, alternative methods of...
Persistent link: https://www.econbiz.de/10012770660
Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...
Persistent link: https://www.econbiz.de/10010873045
Potential asymmetrical adjustment in UK house prices is considered. The present analysis extends previous research in a number of crucial ways. First, a seminal examination of asymmetry in regionally disaggregated UK house prices is undertaken. Secondly, data are examined which are further...
Persistent link: https://www.econbiz.de/10010885630
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...
Persistent link: https://www.econbiz.de/10010888941
The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and...
Persistent link: https://www.econbiz.de/10010936591
This article reexamines the living arrangements of children following their parents’ divorce, using Wisconsin Court Records, updating an analysis that showed relatively small but significant increases in shared custody in the late 1980s and early 1990s. These changes have accelerated markedly...
Persistent link: https://www.econbiz.de/10010949458
Cook, Holly, and Turner recently developed a hypothesis of a positive relationship between the durability of consumers' expenditure and the asymmetric behaviour it exhibits. Supportive evidence was found by applying Sichel's tests of business cycle asymmetry to the component series of UK...
Persistent link: https://www.econbiz.de/10005251284