A novel approach is presented for the analysis of regime switching behaviour based upon the use of Geary's runs test. The proposed method is used to examine recent evidence presented concerning the application of alternative models of asymmetric error correction. The results derived show the...

Davidson et al.'s data set is used to demonstrate the existence of a significant asymmetry in the adjustment of consumption towards equilibrium. The Granger-Lee and Escribano-Pfann methods of partitioning the error correction term are compared and it is shown that the latter produces better...

The consistent threshold estimation method is used to improve the threshold specification of the Granger-Lee asymmetric error correction model. Although only previously considered in the context of univariate analysis, the approach is found to uncover asymmetry undetected under the typical...

The power of the recently proposed Escribano–Pfann (1998) model of asymmetry is examined via Monte Carlo simulation. As found previously for an alternative asymmetric model, the power of this model is seen to be low.