IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v143y2016icp107-110.html
   My bibliography  Save this article

Mean lag in general error correction models

Author

Listed:
  • Fuleky, Peter
  • Ventura, Luigi

Abstract

Most of the empirical literature inappropriately applies Hendry’s (1995) mean lag formula–which he derived for first order autoregressive distributed lag models under the assumption of a homogeneous long-run equilibrium–to error correction models that have complex lag structures and lack long-run homogeneity. We derive an expression for the mean lag in general error correction models without imposing the assumption of a homogeneous equilibrium. In addition, we quantify the bias due to the incorrect use of Hendry’s (1995) formula.

Suggested Citation

  • Fuleky, Peter & Ventura, Luigi, 2016. "Mean lag in general error correction models," Economics Letters, Elsevier, vol. 143(C), pages 107-110.
  • Handle: RePEc:eee:ecolet:v:143:y:2016:i:c:p:107-110
    DOI: 10.1016/j.econlet.2016.03.028
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176516300994
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2018. "Common correlated effects and international risk sharing," International Finance, Wiley Blackwell, vol. 21(1), pages 55-70, March.

    More about this item

    Keywords

    Mean lag; Autoregressive distributed lag model; Error correction model;

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:143:y:2016:i:c:p:107-110. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.