Error-correction modelling in discrete and continuous time
This paper studies the model equation YTÂ =Â [lambda]YTÂ -Â 1Â +Â [alpha]0XTÂ +Â [alpha]1XTÂ -Â 1 and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about [alpha]0Â /Â [alpha]1 we find that this underlying equation is not a Koyck partial adjustment model, but again an error-correction model. An illustration is given.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, P C B, 1991.
"Error Correction and Long-Run Equilibrium in Continuous Time,"
Econometric Society, vol. 59(4), pages 967-80, July.
- Peter C.B. Phillips, 1988. "Error Correction and Long Run Equilibrium in Continuous Time," Cowles Foundation Discussion Papers 882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Tom Doan, . "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.
- Gerard J. Tellis & Philip Hans Franses, 2006. "Optimal Data Interval for Estimating Advertising Response," Marketing Science, INFORMS, vol. 25(3), pages 217-229, 05-06.
- Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
- Philip Hans Franses, 2004. "Fifty years since Koyck (1954)," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 381-387.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:101:y:2008:i:2:p:140-141. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.