The power of tests for non-linearity: the case of Granger-Lee asymmetry

被引：30

作者：

Cook, S

Holly, S ^{[1
]}

Turner, P

机构：

[1] Univ Cambridge, Dept Appl Econ, Cambridge, England

[2] Coventry Univ, Coventry Business Sch, Coventry, W Midlands, England

[3] Univ Sheffield, Dept Econ, Sheffield S10 2TN, S Yorkshire, England

来源：

ECONOMICS LETTERS | 1999年 / 62卷 / 02期

关键词：

asymmetric adjustment; Monte Carlo simulations;

D O I：

10.1016/S0165-1765(98)00208-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the power of the Granger-Lee [Granger, C.W.J., Lee, T.H., 1989. investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics 4, S145-S159.] test for asymmetric adjustment in an error correction model. Monte Carlo simulations indicate that such tests typically have low power in rejecting the null of symmetric adjustment. The power of the test increases with the sample size and with the ratio of the variance of the independent variable to the dependent variable. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：155 / 159

页数：5