期刊名称：Russian Journal of Agricultural and Socio-Economic Sciences
印刷版ISSN：2226-1184
电子版ISSN：2226-1184
出版年度：2012
卷号：11
期号：11
页码：33-36
出版社：Russian Journal of Agricultural and Socio-Economic Sciences
摘要：The power of the Granger and Lee (1989) model of asymmetry is examined via bootstrap simulation. The results of the bootstrap simulation indicate that the Granger and Lee model has low power in rejecting the null hypothesis of symmetric adjustments. The power of the test depends on the bootstrap sample size, difference in adjustment speeds and the amount of noise in the data generating process used in the application. With a small bootstrap sample and large noise level the Granger and Lee model display low power in rejecting the null hypothesis of symmetry.
关键词：Bootstrap Methods; Asymmetric Adjustments; Power test; Granger and Lee Model
