In this letter regional variation in the asymmetric behaviour of the cyclical element of UK unemployment is examined. Strong evidence of asymmetry in the level of the cyclical element of unemployment is found for both the UK as a whole and all of the regions considered. Strong evidence of...

Recent work has shown the components of consumers' expenditure to exhibit differing temporal properties. Evidence from univariate tests of asymmetric behaviour and time deformation models have found durable consumption to possess excessive cyclicality and display a greater degree of asymmetric...

A new approach is developed to examine potential causality between merger activity and industrial production. The proposed method combines an information criterion-based approach to lag optimisation with joint maximum likelihood estimation of an autoregressive distributed lag model and...

The notion of a ripple effect in the UK housing market implies stationarity in regional:national house price ratios. In this paper a new means of examining this issue is proposed which involves the joint application of a powerful unit root test and a test of stationarity. In contrast to the...

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,...

While there exist numerous applications of Kuhn's analysis of scientific revolutions to economics, there is yet to be an application to econometrics. The present paper addresses this via an analysis of the often-documented transition between the textbook and LSE methodologies witnessed in...

Using tests of time reversibility, this paper provides further statistical evidence on the long-standing conjecture in economics concerning the potentially asymmetric behaviour of output over the expansionary and contractionary phases of the business cycle. A particular advantage of this...

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...

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...

The consistent threshold estimation method is used to improve the threshold specification of the Granger-Lee asymmetric error correction model. Although only previously considered in the context of univariate analysis, the approach is found to uncover asymmetry undetected under the typical...