Hypothesis Tests on Asymmetric Error Correction Model

Share:

Description

Conduct several F-tests on the coefficients from asymmetric ECM.

Usage

1
ecmAsyTest(w, digits = 3)

Arguments

w

an object of 'ecmAsyFit' class.

digits

number of digits used in rounding outputs.

Details

There are two ECM equations for the two price series. In each equation, four types of hypotheses are tested; equilibrium adjustment path symmetry on the error correction terms (H1), Granger causality test (H2), distributed lag symmetry at each lag (H3), and cumulative asymmetry of all lags (H4). The latter two tests are only feasible and availabe for models with split variables. The number of H3 tests is equal to the number of lags.

Value

Return a list object with the following components:

H1ex

H01 in equation x: equilibrium adjustment path symmetry

H1ey

H01 in equation y: equilibrium adjustment path symmetry

H2xx

H02 in equation x: x does not Granger cause x

H2yx

H02 in equation y: x does not Granger cause y

H2xy

H02 in equation x: y does not Granger cause x

H2yy

H02 in equation y: y does not Granger cause y

H3xx

H03 in equation x: distributed lag symmetry of x at each lag

H3yx

H03 in equation y: distributed lag symmetry of x at each lag

H3xy

H03 in equation x: distributed lag symmetry of y at each lag

H3yy

H03 in equation y: distributed lag symmetry of y at each lag

H4xx

H04 in equation x: cumulative asymmetry of x for all lags

H4yx

H04 in equation y: cumulative asymmetry of x for all lags

H4xy

H04 in equation x: cumulative asymmetry of y for all lags

H4yy

H04 in equation y: cumulative asymmetry of y for all lags

out

summary of the four types of hypothesis tests

Methods

One method is are defined as follows:

print:

This shows the out component in the returned list object.

Author(s)

Changyou Sun (cs258@msstate.edu)

References

Frey, G., and M. Manera. 2007. Econometric models of asymmetric price transmission. Journal of Economic Surveys 21(2):349-415.

See Also

ecmAsyFit and ecmDiag.

Examples

1
# see example at daVich