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128,862
Vector Error Correction Model
"... We estimate a Vector Error Correction Model to explore the long run and short run linkages between the world crude oil price and economic activity in Ghana for the period 1970:1 to 2006:4. The results point out that there is a long run relationship between the variables under consideration. We find ..."
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We estimate a Vector Error Correction Model to explore the long run and short run linkages between the world crude oil price and economic activity in Ghana for the period 1970:1 to 2006:4. The results point out that there is a long run relationship between the variables under consideration. We find
DETERMINANTS OF TIMBER EXPORTS IN NIGERIA: AN ERROR CORRECTION MODELING APPROACH
, 2007
"... Nigeria: an error correction modeling ..."
A Structural Error Correction Model
, 2006
"... The Effect of Government Size on the Steady-State Unemployment Rate: ..."
Testing for Threshold Cointegration in Vector Error Correction Models
, 2001
"... This paper proposes a formal test for threshold cointegration and an algorithm to estimate the model parameters. Our model is a vector error correction model (VECM) with a single cointegrating vector, and a threshold effect in the error-correction term. ..."
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This paper proposes a formal test for threshold cointegration and an algorithm to estimate the model parameters. Our model is a vector error correction model (VECM) with a single cointegrating vector, and a threshold effect in the error-correction term.
Time Aggregation- A Problem for Error Correction Models?
"... Time aggregation occurs when behaviour is at one unit of time (say monthly) but data are available at a different unit (say quarterly). The effects of time aggregation are examined for various static and dynamic models and the implications for error-correction models and testing for stationarity are ..."
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Time aggregation occurs when behaviour is at one unit of time (say monthly) but data are available at a different unit (say quarterly). The effects of time aggregation are examined for various static and dynamic models and the implications for error-correction models and testing for stationarity
Forecasting with Factor-augmented Error Correction Models
, 2009
"... As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2008) introduced the Factoraugmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual advant ..."
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Cited by 11 (1 self)
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As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2008) introduced the Factoraugmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual
Nonlinear Error-Correction Models for Interest Rates in the Netherlands
- Cambridge University Press �Cambridge
, 1997
"... In this chapter we investigate empirical speci#cation of smooth transition error correction models #STECMs#. These models can be used to describe linear long-run relationships between nonstationary variables where adjustmenttowards equilibrium is nonlinear and can depend on exogenous variables. T ..."
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Cited by 22 (2 self)
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In this chapter we investigate empirical speci#cation of smooth transition error correction models #STECMs#. These models can be used to describe linear long-run relationships between nonstationary variables where adjustmenttowards equilibrium is nonlinear and can depend on exogenous variables
Direct cointegration testing in error correction models
- Journal of Econometrics
, 1994
"... An error correction model is specified having only exact identified parameters, some of which reflect a possible departure from a cointegration model. Wald, likelihood ratio, and Lagrange multiplier statistics are derived to test for the significance of these parameters. The construction of the Wald ..."
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Cited by 9 (4 self)
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An error correction model is specified having only exact identified parameters, some of which reflect a possible departure from a cointegration model. Wald, likelihood ratio, and Lagrange multiplier statistics are derived to test for the significance of these parameters. The construction
Likelihood-Based Inference in Nonlinear Error-Correction Models
, 2007
"... We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties of the ..."
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Cited by 1 (0 self)
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We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties
Impacts of trades in an error-correction model of quote prices$
"... In this paper we analyze and interpret the quote price dynamics of 100 NYSE stocks stratified by trade frequency. We specify an error-correction model for the log difference of the bid and the ask price with the spread acting as the error-correction term, and include as regressors the characteristic ..."
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In this paper we analyze and interpret the quote price dynamics of 100 NYSE stocks stratified by trade frequency. We specify an error-correction model for the log difference of the bid and the ask price with the spread acting as the error-correction term, and include as regressors
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