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Error-correction modelling in discrete and continuous time

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  • ten Cate, Arie
  • Franses, Philip Hans

Abstract

This 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 Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 2 (November)
Pages: 140-141

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Handle: RePEc:eee:ecolet:v:101:y:2008:i:2:p:140-141

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Error-correction model Continuous time;

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  1. Gerard J. Tellis & Philip Hans Franses, 2006. "Optimal Data Interval for Estimating Advertising Response," Marketing Science, INFORMS, vol. 25(3), pages 217-229, 05-06.
  2. Philip Hans Franses, 2004. "Fifty years since Koyck (1954)," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 381-387.
  3. Peter C.B. Phillips, 1988. "Error Correction and Long Run Equilibrium in Continuous Time," Cowles Foundation Discussion Papers 882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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