This article has multiple issues. Please help improve it or discuss these issues on the talk page. (Learn how and when to remove these template messages)
This article may be too technical for most readers to understand. Please help improve it to make it understandable to non-experts, without removing the technical details.(February 2015) (Learn how and when to remove this message)
This article is an orphan, as no other articles link to it. Please introduce links to this page from related articles; try the Find link tool for suggestions. (February 2015)
This article needs additional citations for verification. Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed. Find sources: "Asymmetric cointegration" – news · newspapers · books · scholar · JSTOR(February 2015) (Learn how and when to remove this message)
(Learn how and when to remove this message)
In economics, testing for an asymmetric cointegration relationship among variables implies distinguishing the positive and the negative effects of the error obtained from the cointegration regression.[1] In order to do that, economists usually use the asymmetric cointegration framework proposed by Enders and Siklos in 2001.[2] Asymmetric cointegration comes from the analysis of multivariate combinations arising from the decomposition of the series into positive and negative values of its cumulative sums; see Lardic and Mignon (2008, p. 484).[citation needed]
According to Cook (2006),[citation needed] testing for a potential asymmetric cointegration extends the analysis in further directions to allow for a possibility that other standard cointegration tests may fail to detect an underlying cointegration relationship and therefore, the threshold autoregressive and momentum-threshold cointegration tests are applied to investigate the hypothesis that the cointegration relationship between banking sector development indicators and remittances is of an asymmetric form which splits the speed of adjustments into two parts based on the direction of the equilibrium error.
^Al-Assaf G. (2014), Testing for Asymmetric Cointegration Relationship between Banking Sector Development and Trade Openness: Evidence from Jordan, Dirasat: Administrative Sciences, Vol 41, No 2, 497–507 Al-Assaf 2014 Archived 2015-02-11 at the Wayback Machine
^Enders, W. and Siklos, P. L. (2001). "Cointegration and threshold adjustment." Journal of Business and Economic Statistics 19(2): 166–176.
and 22 Related for: Asymmetric cointegration information
In economics, testing for an asymmetriccointegration relationship among variables implies distinguishing the positive and the negative effects of the...
distinguish the two families, they are referred to below as "symmetric" and "asymmetric"; however, this is not a standard nomenclature. The symmetric generalized...
pricing and empirical finance. His contribution to the ARDL model for the cointegration analysis with Mohammad Hashem Pesaran was introduced in the Cambridge...
earliest tests for normality. The Lin–Mudholkar test specifically targets asymmetric alternatives. The Jarque–Bera test is itself derived from skewness and...
Retrieved 2 April 2022. Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425...
is the case for a symmetric distribution but can also be true for an asymmetric distribution where one tail is long and thin, and the other is short but...
352–368. Jha, R., & Sharma, A. (2004). Structural Breaks, Unit Roots, and Cointegration: A further test of the sustainability of the Indian fiscal deficit....
11: Minimum Message Length, MDL and Generalised Bayesian Networks with Asymmetric Languages". In Grunwald, P.; Pitt, M. A.; Myung, I. J. (eds.). Advances...
investigating his Type 3 distributions. It is often applied to slightly asymmetric distributions that resemble a normal distribution but it is not always...
thus means that such errors exist in the conditional variance. Nonlinear Asymmetric GARCH(1,1) (NAGARCH) is a model with the specification: σ t 2 = ω...
Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. (April–June 2011). "Asymmetric Loss Functions and the Rationality of Expected Stock Returns" (PDF). International...
an asymmetrical measure of association, which can be expressed as U ( X | Y ) ≠ U ( Y | X ) {\displaystyle U(X|Y)\neq U(Y|X)} . This asymmetrical property...
ISBN 978-0-19-920613-1. Pearson, Karl (1894). "On the dissection of asymmetrical frequency curves". Philosophical Transactions of the Royal Society A...
a ‘well-behaved’ data set, in which publication bias is unlikely. An asymmetric funnel indicates a relationship between treatment effect estimate and...
wrapped Cauchy distribution The wrapped Laplace distribution The wrapped asymmetric Laplace distribution The Dirac comb of period 2π, although not strictly...
(lady tasting tea) example was a one-tailed test. The null hypothesis was asymmetric. The probability of guessing all cups correctly was the same as guessing...
they are used in experimental or survey work. The ratio estimates are asymmetrical and symmetrical tests such as the t test should not be used to generate...
p ) ) . {\displaystyle g(p)=\log(-\log(1-p)).} This link function is asymmetric and will often produce different results from the logit and probit link...
occurrence of this error is controlled to be rare. As a consequence of this asymmetric behaviour, an error of the second kind (acquitting a person who committed...
\to \infty }H_{1-X}=1\end{aligned}}} Although both harmonic means are asymmetric, when α = β the two means are equal. The harmonic mean ( H ) of the lognormal...
Global Information
