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|  | | Asymmetric Error Correction Models - some Comments and Improvements | In this essay the method to estimate asymmetric relations with error correction models by splitting the error correction term u[t-1] in [+] u[t-1] and [-] u[t-1] , proposed by Granger and Lee (1989), is proven. The results can be summarized in the following aspects:
- The sign-depending splitting of the error correction term does not enable the quantification of asymmetric effects.
- Symmetric as well as asymmetric error correction models are not completely specified, if the x-variable with level data and the time lag [t-1], on which the co-integrating regression is based, is not included in the function. The neglecting leads to considerably distorted parameters.
- The separate calculation of the error correction terms for the variables [+] y[t-1] and - y[t-1] , derived by splitting the y[t-1] -variable, proposed by the author,proves to be an exact approach to quantify asymmetric relations with error correction models. | | | Autor | | Prof. Dr. Rudolf-Ernst Wolffram | | | | Artikel | | Fachbereich | | Fachrichtung | | 2005 | | Betriebswirtschaftslehre | | Allg. BWL |
| | | | Schlagwörter | | Cramon, Engle, Granger, Lee, asymmetric error correction models, cointegration, reversibility, symmetric error correction models |
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