A new quadratic asymmetric error correction model: does size matter?
<p dir="ltr">We introduce a new quadratic asymmetric error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify different sources of long-run nonlinearity, namely quadratic nonlinearity,...
محفوظ في:
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| مؤلفون آخرون: | , |
| منشور في: |
2022
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إضافة وسم
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| _version_ | 1864513546068426752 |
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| author | Ayman Mnasri (16932486) |
| author2 | Zouhair Mrabet (17863070) Mouyad Alsamara (17823668) |
| author2_role | author author |
| author_facet | Ayman Mnasri (16932486) Zouhair Mrabet (17863070) Mouyad Alsamara (17823668) |
| author_role | author |
| dc.creator.none.fl_str_mv | Ayman Mnasri (16932486) Zouhair Mrabet (17863070) Mouyad Alsamara (17823668) |
| dc.date.none.fl_str_mv | 2022-11-11T09:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1007/s00181-022-02323-4 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/A_new_quadratic_asymmetric_error_correction_model_does_size_matter_/29413340 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Economics Applied economics Econometrics Mathematical sciences Statistics Error correction model Quadratic nonlinearity Asymmetry Bootstrap Okun’s law Monte Carlo simulations Forecast |
| dc.title.none.fl_str_mv | A new quadratic asymmetric error correction model: does size matter? |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p dir="ltr">We introduce a new quadratic asymmetric error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify different sources of long-run nonlinearity, namely quadratic nonlinearity, size asymmetry and sign asymmetry. We use a nonparametric residual recursive bootstrap technique to report p-values for the long-run tests. Simulation results confirm the consistency of our proposed estimator in finite samples and show that the bootstrapped tests have reasonably good size and power properties. Although our estimation of the Okun’s Law for the USA confirms previous findings on the direction of the sign asymmetry, its reveals that the magnitude of the impact of economic downturns on unemployment decreases faster than the impact of upturns. Forecasting results show that our new model performs better than NARDL.</p><h2>Other Information</h2><p dir="ltr">Published in: Empirical Economics<br>License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1007/s00181-022-02323-4" target="_blank">https://dx.doi.org/10.1007/s00181-022-02323-4</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_013dddc71e0d3445a8db986de32c7daa |
| identifier_str_mv | 10.1007/s00181-022-02323-4 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/29413340 |
| publishDate | 2022 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | A new quadratic asymmetric error correction model: does size matter?Ayman Mnasri (16932486)Zouhair Mrabet (17863070)Mouyad Alsamara (17823668)EconomicsApplied economicsEconometricsMathematical sciencesStatisticsError correction modelQuadratic nonlinearityAsymmetryBootstrapOkun’s lawMonte Carlo simulationsForecast<p dir="ltr">We introduce a new quadratic asymmetric error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify different sources of long-run nonlinearity, namely quadratic nonlinearity, size asymmetry and sign asymmetry. We use a nonparametric residual recursive bootstrap technique to report p-values for the long-run tests. Simulation results confirm the consistency of our proposed estimator in finite samples and show that the bootstrapped tests have reasonably good size and power properties. Although our estimation of the Okun’s Law for the USA confirms previous findings on the direction of the sign asymmetry, its reveals that the magnitude of the impact of economic downturns on unemployment decreases faster than the impact of upturns. Forecasting results show that our new model performs better than NARDL.</p><h2>Other Information</h2><p dir="ltr">Published in: Empirical Economics<br>License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1007/s00181-022-02323-4" target="_blank">https://dx.doi.org/10.1007/s00181-022-02323-4</a></p>2022-11-11T09:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1007/s00181-022-02323-4https://figshare.com/articles/journal_contribution/A_new_quadratic_asymmetric_error_correction_model_does_size_matter_/29413340CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/294133402022-11-11T09:00:00Z |
| spellingShingle | A new quadratic asymmetric error correction model: does size matter? Ayman Mnasri (16932486) Economics Applied economics Econometrics Mathematical sciences Statistics Error correction model Quadratic nonlinearity Asymmetry Bootstrap Okun’s law Monte Carlo simulations Forecast |
| status_str | publishedVersion |
| title | A new quadratic asymmetric error correction model: does size matter? |
| title_full | A new quadratic asymmetric error correction model: does size matter? |
| title_fullStr | A new quadratic asymmetric error correction model: does size matter? |
| title_full_unstemmed | A new quadratic asymmetric error correction model: does size matter? |
| title_short | A new quadratic asymmetric error correction model: does size matter? |
| title_sort | A new quadratic asymmetric error correction model: does size matter? |
| topic | Economics Applied economics Econometrics Mathematical sciences Statistics Error correction model Quadratic nonlinearity Asymmetry Bootstrap Okun’s law Monte Carlo simulations Forecast |