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According to Cook (2006), testing for a potential asymmetric cointegration extends the analysis in further directions to allow for a possibility that other standard cointegration tests may fail to detect an underlying cointegration relationship and therefore, the threshold autoregressive and
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usually use the asymmetric cointegration framework proposed by Enders and Siklos in 2001. Asymmetric cointegration comes from the analysis of multivariate combinations arising from the decomposition of the
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Al-Assaf G. (2014), Testing for
Asymmetric Cointegration Relationship between Banking Sector Development and Trade Openness: Evidence from Jordan, Dirasat: Administrative Sciences, Vol 41, No 2, 497–507
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development indicators and remittances is of an asymmetric form which splits the speed of adjustments into two parts based on the direction of the equilibrium error.
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Enders, W. and Siklos, P. L. (2001). "Cointegration and threshold adjustment." Journal of
Business and Economic Statistics 19(2): 166–176.
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into positive and negative values of its cumulative sums; see Lardic and Mignon (2008, p. 484).
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momentum-threshold cointegration tests are applied to investigate the
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implies distinguishing the positive and the negative effects of the
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may be too technical for most readers to understand
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