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- W3152230022 abstract "Using threshold autoregressive specifications, this paper develops new parametric tests for level asymmetries. It proposes bootstrap likelihood ratio statistics to test the symmetric adjustment 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 for n>=300. An application to three US dollar nominal exchange rates, 1973:2-2000:2, shows pervasive evidence of amplitude asymmetry.t" @default.
- W3152230022 created "2021-04-13" @default.
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- W3152230022 date "2001-01-01" @default.
- W3152230022 modified "2023-09-23" @default.
- W3152230022 title "Bootstrap LR Tests for Sign and Amplitude Asymmetries" @default.
- W3152230022 hasPublicationYear "2001" @default.
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