Univariate analysis of asymmetry in the DHSY model

Abstract

Cook and co-workers recently uncovered evidence of asymmetric adjustment in the data used by Davidson et al. An economic interpretation was provided in terms of more rapid adjustment of consumers' expenditure during recessionary periods. In the present letter this hypothesis, derived indirectly at a structural level by Cook et al., is tested directly via univariate analysis. The results presented support the hypothesis.