Intercountry Evidence On The Performance Of The Simple Error Correction Mechanism Model Of Consumption
AbstractThis paper estimates a simple error correction mechanism (SECM) model of consumption a la Davidson, Hendry, Srba and Yeo (1978) for 13 OECD countries over the period 1951-82. This is done for each country separately as well as for the pooled data. The basic results of this study are the following: (1) The SECM model appears as an adequate approximation to the data generating process on an individual country basis as well as in a pooled context. (2) The pooled within estimator indicates a large and significant disequilibrium term while the between estimator indicates a small and insignificant disequilibrium term. This is consistent with the belief that the within estimator tend to yield short-run estimates while the between estimator tend to yield long-run estimates.
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Bibliographic InfoPaper provided by Houston - Department of Economics in its series Papers with number 4.
Length: 16 pages
Date of creation: 1988
Date of revision:
Contact details of provider:
Postal: UNIVERSITY OF HOUSTON, DEPARTMENT OF ECONOMICS, COLLEGE OF SOCIAL SCIENCES, HOUSTON TEXAS 77023 U.S.A.
Web page: http://www.class.uh.edu/econ/
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consumption ; evaluation ; models;
Other versions of this item:
- Baltagi, Badi H & Mokhtari, Manouchehr, 1990. "Intercountry Evidence on the Performance of the Simple Error Correction Mechanism Model of Consumption," Empirical Economics, Springer, vol. 15(4), pages 303-14.
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