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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- 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.
- 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.
- Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-80, July.
- Philip Hans Franses, 2004. "Fifty years since Koyck (1954)," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 381-387.
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