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Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue
[Rethinking the Error Correction Model in Macroeconometric Analysis: A Review]

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  • PINSHI, Christian P.

Abstract

The methodology of cointegration filled the void that existed between economic theorists and econometricians in understanding the dynamics, equilibrium and reliability bias of macroeconomic and financial analysis, which is subject to revision non-stationary behavior. This article provides a relevant review of the power of the error correction model. Theorists and econometricians have shown that the error correction model is a powerful machine that offers macroeconomic policy refinement of econometric results.

Suggested Citation

  • PINSHI, Christian P., 2021. "Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue [Rethinking the Error Correction Model in Macroeconometric Analysis: A Review]," MPRA Paper 106694, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106694
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    References listed on IDEAS

    as
    1. NTUNGILA, Floribert & PINSHI, Christian P., 2019. "Fluctuations de prix des matières premières et économie congolaise : manne d’espoir ou de malédiction ? [Fluctuations in commodity price and the congolese economy: hope or curse manna?]," MPRA Paper 95409, University Library of Munich, Germany.
    2. Karim Eslamloueyan & Ali Darvishi, 2007. "Credit Expansion and Inflation in Iran: An Unrestricted Error Correction Model," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 12(2), pages 105-126, spring.
    3. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    4. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. "Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-273.
    5. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    6. Tran Van Quang, 2007. "Testing Cointegration for Czech Stock Market [Testování kointegrace na českém akciovém trhu]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2007(4), pages 17-31.
    7. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
    8. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    9. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
    10. Christian Pinshi & Emmanuel Sungani, 2018. "The Relevance Of Pass-Through Effect: Should We Revisit Monetary Policy Regime?," Post-Print hal-02566800, HAL.
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    More about this item

    Keywords

    Cointegration; Error correction model; Inflation; Exchange rate;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • 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
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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