On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models

Schild, Karl-Heinz; Schweikert, Karsten

doi:10.3390/econometrics7010012

Cited by 2 publications

(2 citation statements)

References 29 publications

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“…The new theoretical and applied approach to the comparison of real-tourism price variables is introduced. The paper follows previous theoretical considerations of Hoover and Juselius (2015); Juselius (2015); Johansen and Nielsen (2018) and Schild and Schweikert (2019). An endeavour of the research contributes to the econometric theory on skew-normal price time-series distributions (Trafimow 2019).…”

Section: Formal Discussionmentioning

confidence: 86%

Technical Analysis of Tourism Price Process in the Eurozone

Gričar

Bojnec

2021

JRFM

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This study is a specific contribution to investigating normalities in prices to a well-established cointegrated vector autoregressive model (VAR). While the role of prices in computational economics has been investigated, the real prices vis-à-vis nominal prices in the decision process has been neglected. The paper investigates the transition from nominal to real time-series of prices without losing information in the data set when deflating or de-seasonalizing. The likelihood approach is based on careful specifications of the (co)integration characteristics of tourism prices. The results confirm that the transmission of tourism prices in the Eurozone positively impacts Slovenian tourism prices when the spatial consolidated cointegrated VAR model is used. The theoretical-conceptual and empirical contribution is twofold: first, the study develops and empirically applies bona fide divisor of normality consolidation for time-series in levels instead of routinely utilised inflation integers, and second, the study introduces perfection of prices on a long-run time-series treatment.

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Section: Formal Discussionmentioning

confidence: 86%

Technical Analysis of Tourism Price Process in the Eurozone

Gričar

Bojnec

2021

JRFM

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“…However, the problem is that the asymptotic distribution of the test statistics of the null hypothesis of symmetry or linearity are not only non-standard but also dependent on the transition variable ( Shin et al., 2014 ). More importantly, tests for long-run asymmetry become invalid in cases of small sample sizes or slow adjustment speed ( Schild and Schweikert, 2019 ).…”

Section: Empirical Approachmentioning

confidence: 99%

Degree of sustainability of current account: evidence from Côte d’Ivoire using a non-linear approach

Kouadio

2021

Heliyon

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The current account deficit is a macroeconomic indicator that provides information on the health of an economy. Its sustainability is particularly crucial for developing countries such as Côte d'Ivoire, one of the largest economies in West Africa. Given the country's exposure to external vulnerability, this paper analysed the degree of sustainability of its current account. Beyond this, the study looked at the resilience of the economy to external shocks by examining how exports behave following an asymmetric shock on imports plus interest on external borrowing. To this end, the model developed by Shin et al. (2014) was applied to the intertemporal approach to current account sustainability using quarterly macroeconomic data from 1985q1 to 2017q4. The study found that Côte d'Ivoire's current account balance is sustainable. However, this sustainability is weak in the sense of Hakkio and Rush (1991), thus leading to a high risk of government failure in this respect. Also, the study shows that exports react differently to asymmetric shocks on increased imports, with a return to equilibrium often very slow. Therefore, the strengthening and stability of the socio-political environment is to be encouraged, as well as the implementation of policies aimed at sound public finance management and minimising the economy's vulnerability to external shocks.

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On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models

Cited by 2 publications

References 29 publications

Technical Analysis of Tourism Price Process in the Eurozone

Technical Analysis of Tourism Price Process in the Eurozone

Degree of sustainability of current account: evidence from Côte d’Ivoire using a non-linear approach

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