ON THE VALIDITY OF THE TEST FOR ASYMMETRY IN RESIDUAL-BASED THRESHOLD COINTEGRATION MODELS.

The critical values for the Enders-Siklos CI-test are much larger than those from standard theory, e.g. at the level of 5%, the 95%-quantile of the 𝐹 2,𝑇 -2 distribution is approximately 3, while the proper critical value for the Enders-Siklos CI-test is roughly 6. C. Demonstration: weekly crude oil and gasoline prices (Germany, Jan 2004 - June 2012) The paper applied the Enders-Siklos procedure to German crude oil and gasoline prices. 'SLASKI PRZEGLAD STATYSTYCZNY Nr 18(24) 284 Karl-Heinz Schild B. Extension of the Enders-Siklos procedure: estimate threshold 𝝉 So far it was assumed that threshold 𝜏 is known in advance. Enders and Siklos suggest conducting an 𝐹-test with non-standard critical values because under 𝐻 0 the standard (asymptotic-normal) theory does not apply. [Extracted from the article]