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المؤلفMnasri, Ayman
المؤلفMrabet, Zouhair
المؤلفAlsamara, Mouyad
تاريخ الإتاحة2023-01-17T06:57:08Z
تاريخ النشر2022
اسم المنشورEmpirical Economics
المصدرScopus
معرّف المصادر الموحدhttp://dx.doi.org/10.1007/s00181-022-02323-4
معرّف المصادر الموحدhttp://hdl.handle.net/10576/38503
الملخصWe 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. 2022, The Author(s).
اللغةen
الناشرSpringer Science and Business Media Deutschland GmbH
الموضوعAsymmetry
Bootstrap
Error correction model
Forecast
Monte Carlo simulations
Okun's law
Quadratic nonlinearity
العنوانA new quadratic asymmetric error correction model: does size matter?
النوعArticle
dc.accessType Open Access


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