Asymmetric Error Correction Model
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Location above, or view our FAQ File name: SSRN-id731524. ; Size: 786K You will receive a perfect bound, 8.5 x 11 inch, black and white printed copy of this PDF document with a glossy color error correction model interpretation cover. Currently shipping to U.S. addresses only. Your order will ship within 3 business days. For more details, view our FAQ. Quantity: Total Price = $9.99 plus shipping (U.S. Only) If you have any problems with this purchase, please contact us for assistance by email: Support@SSRN.com or by phone: 877-SSRNHelp (877 777 6435) in the United States, or +1 585 442 8170 outside of the United States. We are open Monday through vector error correction model tutorial Friday between the hours of 8:30AM and 6:00PM, United States Eastern. Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship Matteo Manera University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, ItalyMargherita Grasso University College London - Department of Economics May 2005 FEEM Working Paper No. 75.05 Abstract: The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot gasoline and crude oil prices, as well as some evidence of asymmetric behaviour. However, the type of market and the number of countries which are characterized by asymmetric oil-gasoline price relations vary across models. The asymmetric ECM yields some evidence of asymmetry for all countries, mainly at the distribution stage. The threshold ECM strongly rejects the null hypothesis of symm
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Grasso M., Manera M. Journal: Energy Policy Publisher: Elsevier Year: 2007 Volume: 35 Pages: 156-177 Keywords: Oil and gasoline prices, Asymmetries, Error correction models http://ssrn.com/abstract=731524 DOI: http://dx.doi.org/10.1016/j.enpol.2005.10.016 Abstract The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to http://matteomanera.it/research/publications/articles-in-refereed-journals/69-asymmetric-error-correction-models-for-the-oil-gasoline-price-relationship.html describe asymmetric price behavior, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly data set for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985–2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot gasoline and crude oil prices, as well as some evidence of asymmetric behavior. However, the type of market and the number of countries which are characterized by asymmetric oil–gasoline price relations vary across models. The asymmetric ECM prescribes that long-run price asymmetries are most likely to be found in the second stage of the transmission chain. Conversely, the ECM with threshold cointegration suggests that long-run price asymmetries vary across countries and markets. Short-run price asymmetries are captured by the asymmetric ECM s
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