Further results on the detection of asymmetric adjustment in macroeconomic time series

Abstract

Cook recently revisited the seminal study of Granger and Lee on asymmetric error correction. Formal criteria found asymmetry to be detected less frequently than was initially suggested by informal inspection. Further results on the detection of asymmetry using the original author's data are provided here via the application of Sichel's univariate techniques. The increased detection of asymmetry using these alternative methods emphasizes previous results on the poor performance of the asymmetric error correction model.