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...

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.

Using Treasury forecasts of the growth in real total consumers' expenditure a number of issues in macroeconomic forecasting are addressed. By restricting attention to a single variable, a more detailed examination is provided than is otherwise possible, thus complementing more general studies....

A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth nonlinear trend. Monte-Carlo simulation is employed to derive finite-sample critical values for...

The debate concerning the mean reverting nature of the consumption-income ratio is revisited. The existing literature is extended by allowing for the as yet unconsidered possibility of asymmetric mean reversion in a collection of OECD economies. Using specifically derived finite-sample critical...

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two...

The properties of the 'change in persistence'' tests developed by Leybourne et al. (2003) are considered in the presence of structural change under the null. Interestingly, it is found that while breaks in drift result in undersizing, breaks in level lead to severe oversizing. The implications...

Cook et al. (1998) have recently proposed the hypothesis of a positive relationship between the durability of consumers' expenditure and the asymmetric behaviour it exhibits. Some support was found for this hypothesis via the application of Sichel's (1993) univariate tests of business cycle...

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods,...