Error-correction modelling in discrete and continuous time
AbstractThis paper studies the model equation YTÂ =Â [lambda]YTÂ -Â 1Â +Â [alpha]0XTÂ +Â [alpha]1XTÂ -Â 1 and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about [alpha]0Â /Â [alpha]1 we find that this underlying equation is not a Koyck partial adjustment model, but again an error-correction model. An illustration is given.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 101 (2008)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Error-correction model Continuous time;
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