A bootstrap approach to testing for symmetry in the granger and lee asymmetric error correction model

dc.contributor.author	Acquah, Henry De-Graft
dc.date.accessioned	2020-12-10T10:51:37Z
dc.date.available	2020-12-10T10:51:37Z
dc.date.issued	2012-10-11
dc.identifier.issn	23105496
dc.identifier.uri	http://hdl.handle.net/123456789/4274
dc.description	36p:, ill.	en_US
dc.description.abstract	The power of the Granger and Lee (1989) model of asymmetry is examined via bootstrap simulation. The results of the bootstrap simulation indicate that the Granger and Lee model has low power in rejecting the null hypothesis of symmetric adjustments. The power of the test depends on the bootstrap sample size, difference in adjustment speeds and the amount of noise in the data generating process used in the application. With a small bootstrap sample and large noise level the Granger and Lee model display low power in rejecting the null hypothesis of symmetry	en_US
dc.language.iso	en	en_US
dc.publisher	University of Cape Coast	en_US
dc.subject	Bootstrap methods	en_US
dc.subject	Asymmetric adjustments	en_US
dc.subject	Power test	en_US
dc.subject	Granger	en_US
dc.subject	Lee model.	en_US
dc.title	A bootstrap approach to testing for symmetry in the granger and lee asymmetric error correction model	en_US
dc.type	Article	en_US