Bootstap Lr Tests of Sign and Amplitude Asymmetry
Birkbeck College Working Paper No. 5/00
Posted: 21 Apr 2000
Date Written: April 2000
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: Suggested Citation