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Table 4: Error Correction Model

in Exchange-Rate Passthrough In Japanese Export Pricing
by Ayumi Kikuchi, Ayumi Kikuchi, Ayumi Kikuchi, Michael Sumner, Michael Sumner, Michael Sumner
"... In PAGE 8: ... The relatively short lag in the VAR reported in the previous section means that the dynamics fade away within a year at most, raising the possibility that it may be difficult to disentangle deliberately incomplete pass-through from the unintended consequences of imperfect foresight. An error-correction model of the change in (log) export prices is shown in the first column of Table4 . The explanatory variables are the lagged residuals (with mean adjusted to zero) from the preferred estimate of the cointegrating vector (EC), first- differences (prefixed D) of the I (1) variables, and the index of spare capacity.... In PAGE 8: ... To allow for the possibility of asymmetrical responses, positive and negative values of the explanatory variables were entered separately; those distinctions which reduced the standard error of the regression were retained. Table4 here The most i nteresting result is the coefficients of similar magnitude and opposite sign on the current and lagged change in the effective exchange rate. A Wald test shows that the restriction of coefficients which sum to zero cannot be rejected with anything resembling a reasonable probability.... In PAGE 8: ... Restricting the positive values of these variables, and of the appropriately insignificant intercept, to zero is acceptable jointly as well as separately, as the Wald test demonstrates. The second column of Table4 shows the results of imposing all the restrictions. The high (absolute) t-ratio on the error correction term confirms the inference of cointegration.... ..."

Table IV. Error correction model

in Modelling The Behaviour Of The Spot Prices Of Various Types Of Coffee
by Jess Otero Department, Jesús G. Otero, Costas Milas

Table 5: Error-Correction Model Results

in Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate
by Robert A. Amano, Simon Van Norden 1998
"... In PAGE 10: ... We reduce the dynamics of the ECM by successively omitting variables with the lowest t-statistics and re-estimating. The resulting ECM (reported in Table5 ) is simply: (2) Despite the remarkably simple specification, the R-squared statistic indicates that the price of oil can account for 6.7 per cent of the month-to-month variation and most of the longer horizon systematic movements in the real exchange rate.... In PAGE 10: ...7 per cent of the month-to-month variation and most of the longer horizon systematic movements in the real exchange rate. Specifically, the residual diagnostic tests yield little evidence of autocorrelation and autoregressive conditional heteroskedasticity (see residual diagnostic tests in Table5 ).10 The test for kurtosis, however, forces us to reject the null hypothesis of no kurtosis.... ..."
Cited by 2

Table 13 OLS test on the Error Correction Model

in Singapore and the New Regionalism: Bilateral Economic Relations with Japan and the US
by Reza Siregar, Ramkishen S. Rajan, Ramkishen S. Rajan, Rahul Sen, Rahul Sen

TABLE 3 Error-Correction Model

in A Quasi-Sterilisation Model for Singapore
by Quek Wee Yeow, Wu Ying

TABLE 9 Error-Correction Model

in A Cointegration Analysis of the Impact of Economic Forces and Global Market Integration on the Singapore Stock Market
by Tiong Sim Ramin, Koh Tiong Sim, Ramin Cooper Maysami

Table Three: Error correction model estimates

in The dynamic adjustment of the U.S. mortgage rate
by S. Cook, Steven Cook 2006

TABLE 1 FORECASTING PERFORMANCE LITERATURE CATEGORIZED BY ERROR MEASURE AND TYPE OF ECONOMETRIC MODEL

in unknown title
by unknown authors

Table 8 Adjustment speed in basic error-correction model

in Road expansion and market integration in the Austrian Low Countries during the Second Half of the 18th Century
by Erik Buyst, Stefan Dercon, Bjorn Van Campenhout

TABLE 6 Error-Correction Model for k = 2

in A Cointegration Analysis of the Impact of Economic Forces and Global Market Integration on the Singapore Stock Market
by Tiong Sim Ramin, Koh Tiong Sim, Ramin Cooper Maysami
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