ecmAsyTest: Hypothesis Tests on Asymmetric Error Correction Model
Description
Conduct several F-tests on the coefficients from asymmetric ECM.
Usage
ecmAsyTest(w, digits = 3)
Arguments
w
an object of 'ecmAsyFit' class.
digits
number of digits used in rounding outputs.
Value
Return a list object with the following components:
H1exH01 in equation x: equilibrium adjustment path symmetry
H1eyH01 in equation y: equilibrium adjustment path symmetry
H2xxH02 in equation x: x does not Granger cause x
H2yxH02 in equation y: x does not Granger cause y
H2xyH02 in equation x: y does not Granger cause x
H2yyH02 in equation y: y does not Granger cause y
H3xxH03 in equation x: distributed lag symmetry of x at each lag
H3yxH03 in equation y: distributed lag symmetry of x at each lag
H3xyH03 in equation x: distributed lag symmetry of y at each lag
H3yyH03 in equation y: distributed lag symmetry of y at each lag
H4xxH04 in equation x: cumulative asymmetry of x for all lags
H4yxH04 in equation y: cumulative asymmetry of x for all lags
H4xyH04 in equation x: cumulative asymmetry of y for all lags
H4yyH04 in equation y: cumulative asymmetry of y for all lags
outsummary of the four types of hypothesis tests
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.
References
Frey, G., and M. Manera. 2007. Econometric models of asymmetric price transmission. Journal of Economic Surveys 21(2):349-415.