Error Correction Models, Co-Integration And The Internal Model Principle
AbstractThe 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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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 291.
Length: 33 pages
Date of creation: 1988
Date of revision:
economic equilibrium ; dynamic analysis ; models ; statistical errors;
Other versions of this item:
- Salmon, Mark, 1988. "Error correction models, cointegration and the internal model principle," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 523-549.
- Salmon, Mark, 1988. "Error Correction Models, Co-integration and the Internal Model Principle," CEPR Discussion Papers 265, C.E.P.R. Discussion Papers.
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- Qin, Duo, 1998. "Disequilibrium institutional factors in aggregate money demand: evidence from three economies," Journal of Development Economics, Elsevier, vol. 57(2), pages 457-471.
- Françoise Maurel, 1989. "Modèles à correction d'erreur : l'apport de la théorie de la co-intégration," Économie et Prévision, Programme National Persée, vol. 88(2), pages 105-125.
- jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, EconWPA.
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