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Error Correction Models, Co-integration and the Internal Model Principle

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Salmon, Mark

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Abstract

The paper considers the conditions under which a system of dynamic equations will be consistent with some prespecified multivariate equilibrium specification. Connections are also drawn between what is known as 'the internal model principle' in the design of robust linear feedback rules and recent developments in the analysis of multivariate error correction models and the theory of co-integration. This approach not only clarifies and generalizes our understanding of error correction systems, but also suggests a relatively simple method for determining whether a given dynamic system satisfies the conditions for representation as an error correction specification.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 265.

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Date of creation: Sep 1988
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Handle: RePEc:cpr:ceprdp:265

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Related research
Keywords: Co Integration; Dynamic Models; Error-Correction Models; Feedback Rules; Specification;

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  1. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, EconWPA. [Downloadable!]
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This page was last updated on 2009-11-25.

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