Bootstap Lr Tests of Sign and Amplitude Asymmetry

Birkbeck College Working Paper No. 5/00

Cass Business School Research Paper

Posted: 21 Apr 2000

See all articles by Ana-Maria Fuertes

Ana-Maria Fuertes

Cass Business School, City University of London

Jerry Coakley

University of Essex - Essex Business School

Date Written: April 2000

Abstract

Using threshold autoregressive specifications, this paper extends the Enders and Granger (1998) framework for parametric tests of level asymmetry. In particular it develops bootstrap likelihood ratio statistics to test the symmetry null against sign and amplitude asymmetries or a combination of both. Monte Carlo simulations show that the proposed tests have good size properties and reasonable power. Their use is illustrated by means of an application to nominal exchange rate changes, 1973M2-2000M2.

Keywords: threshold autoregression, level asymmetries, Monte Carlo

JEL Classification: C15, C22, C52

Suggested Citation

Fuertes, Ana-Maria and Coakley, Jerry, Bootstap Lr Tests of Sign and Amplitude Asymmetry (April 2000). Birkbeck College Working Paper No. 5/00; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=221780

Ana-Maria Fuertes

Cass Business School, City University of London ( email )

Faculty of Finance
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 207 477 0186 (Phone)
+44 207 477 8881 (Fax)

HOME PAGE: http://www.city.ac.uk/people/academics/ana-maria-fuertes

Jerry Coakley (Contact Author)

University of Essex - Essex Business School ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom
+44 1206 872455 (Phone)
+44 1206 873429 (Fax)

HOME PAGE: http://www.essex.ac.uk/afm/staff/coakley.shtm

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