Asymmetric Error Correction Models
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file RIS(for EndNote, Reference Manager, ProCite) BibTeX Text RefWorks Direct Export Content Citation Only Citation and Abstract Advanced search JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. JavaScript is disabled on your browser. Please enable JavaScript to use all the features error correction model interpretation on this page. This page uses JavaScript to progressively load the article content as a user scrolls. Click the View full text link to bypass dynamically loaded article content. View full text Energy PolicyVolume 35, Issue 1, January 2007, Pages 156–177 Asymmetric error correction models for the oil–gasoline price relationshipMargherita Grassoa, Matteo Manerab, c, , a Department of Economics, University College, London, UKb Department of Statistics, University of Milan-Bicocca, Italyc Fondazione Eni Enrico Mattei, Milan, ItalyAvailable online 9 December 2005AbstractThe 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 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, Sp
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for the oil-gasoline price relationship Authors: Grasso M., Manera M. Journal: Energy Policy Publisher: Elsevier Year: error correction model impulse response function 2007 Volume: 35 Pages: 156-177 Keywords: Oil and gasoline prices, Asymmetries, Error correction models DOI: http://dx.doi.org/10.1016/j.enpol.2005.10.016 Abstract The existing literature on price asymmetries does not http://www.sciencedirect.com/science/article/pii/S0301421505002971 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 behavior, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on http://matteomanera.it/research/publications/articles-in-refereed-journals/69-asymmetric-error-correction-models-for-the-oil-gasoline-price-relationship.html 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 specification and the TAR-ECM. The latter model suggests that all European countries are likely to be affected by asymmetries at the distribution stage, while the results obtained with the asymmetric ECM are mixed. < Prev Next > Powered by Joomla!®
asymmetric ECM. Usage 1ecmAsyTest(w, digits = 3) Arguments w an object of 'ecmAsyFit' class. digits number of digits used in rounding outputs. Details There are two ECM equations for the two price https://rdrr.io/cran/apt/man/ecmAsyTest.html 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), http://stats.stackexchange.com/questions/52731/error-correction-model-to-test-for-asymmetry-with-stationary-i0-variables 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 error correction of lags. Value Return a list object with the following components: H1ex H01 in equation x: equilibrium adjustment path symmetry H1ey H01 in equation y: equilibrium adjustment path symmetry H2xx H02 in equation x: x does not Granger cause x H2yx H02 in equation y: x does not Granger cause y H2xy H02 in equation x: y does not Granger cause x H2yy error correction model H02 in equation y: y does not Granger cause y H3xx H03 in equation x: distributed lag symmetry of x at each lag H3yx H03 in equation y: distributed lag symmetry of x at each lag H3xy H03 in equation x: distributed lag symmetry of y at each lag H3yy H03 in equation y: distributed lag symmetry of y at each lag H4xx H04 in equation x: cumulative asymmetry of x for all lags H4yx H04 in equation y: cumulative asymmetry of x for all lags H4xy H04 in equation x: cumulative asymmetry of y for all lags H4yy H04 in equation y: cumulative asymmetry of y for all lags out summary of the four types of hypothesis tests Methods One method is are defined as follows: print: This shows the out component in the returned list object. Author(s) Changyou Sun (cs258@msstate.edu) References Frey, G., and M. Manera. 2007. Econometric models of asymmetric price transmission. Journal of Economic Surveys 21(2):349-415. See Also ecmAsyFit and ecmDiag. Examples 1# see example at daVich Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.
Tour Start here for a quick overview of the site Help Center Detailed answers to any questions you might have Meta Discuss the workings and policies of this site About Us Learn more about Stack Overflow the company Business Learn more about hiring developers or posting ads with us Cross Validated Questions Tags Users Badges Unanswered Ask Question _ Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. Join them; it only takes a minute: Sign up Here's how it works: Anybody can ask a question Anybody can answer The best answers are voted up and rise to the top Error correction model (to test for asymmetry) with stationary I(0) variables up vote 0 down vote favorite I have price series which are all stationary without taking any difference --> I(0). Can I still perform an ECM model to test for asymmetry? For example: Y= constant X; taking the residuals and separate this term in negative and positive ones (ECT+ and ECT-). Then: D.Y=cons LD.X LD.Y ECT- ECT+ Is this correct for I(0) variables? time-series cointegration ecm share|improve this question edited Mar 19 '13 at 19:12 mbq 17.7k849102 asked Mar 19 '13 at 18:03 user22244 1 What do you mean by "asymmetry"? There is no need to try an ECM based hypothesis test on the cointegrating vector since a linear combination will be $I(0)$. –Jase Aug 18 '13 at 10:17 add a comment| 1 Answer 1 active oldest votes up vote 1 down vote You don't need to. Your OLS will be consistent in this case. I don't see the valid reason for using the first differences in the ECM, unless they are I(1). share|improve this answer edited Mar 20 '13 at 21:07 answered Mar 20 '13 at 13:15 Metrics 1,70611024 1 At present, this is really a comment, @user1492268, not an answer. Would you care to expand on it somewhat? –gung Mar 20 '13 at 14:45 @ gung: Can you flag this as a comment?I am not sure what OP wanted to do? –Metrics Mar 20 '13 at 19:50 I don't know enough about time-series to be sure about the question, but your answer may well be appropriate. I don't object to it being an answer--I just wonder if you might elaborate on your point a bit. I can also flag it if you'd prefer. –gung Mar 20 '13 at 20:10 I added a sentence, but I guess I have answered the OP's question. –Metrics Mar 20 '13 at 21:08 Given that the question is not well formulated, the answer is appropriate. If all variables are I(0), ECM is not needed. What kind