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Stock Adjustment for Multicointegrated Series

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  • Lee, Tae-Hwy
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    Abstract

    A typical stock adjustment model is a partial adjustment process to maintain simultaneously the two kinds of equilibrium relationships: a flow-flow relationship and a stock-flow relationship. We show that the stock adjustment model is an error correction model of 'multicointegrated' time series, and also an optimal decision rule generated from an intertemporal optimization problem. Economic examples in inventory model, housing construction, and consumption function are discussed.

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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 21 (1996)
    Issue (Month): 4 ()
    Pages: 633-39

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    Handle: RePEc:spr:empeco:v:21:y:1996:i:4:p:633-39

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    Cited by:
    1. Boriss Siliverstovs, . "Multicointegration in US consumption data," Economics Working Papers 2001-6, School of Economics and Management, University of Aarhus.
    2. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    3. Demiralp, Berna & Gantt, Bonnie B. & Selover, David D., 2011. "Modeling unemployment as an inventory: A multicointegration approach," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 724-737.
    4. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.

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