Stock Adjustment for Multicointegrated Series
AbstractA 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 InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 21 (1996)
Issue (Month): 4 ()
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