2008-11-01
Error-correction modelling in discrete and continuous time
Publication
Publication
Economics Letters , Volume 101 - Issue 2 p. 140- 141
This paper studies an model equation model and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about α0 / α1 we find that this underlying equation is not a Koyck partial adjustment model, but again an error-correction model. An illustration is given.
| Additional Metadata | |
|---|---|
| , | |
| , | |
| doi.org/10.1016/j.econlet.2008.07.006, hdl.handle.net/1765/13440 | |
| Econometric Institute Reprint Series | |
| Economics Letters | |
| Organisation | Erasmus Research Institute of Management |
|
Cate, A., ten, & Franses, P. H. (2008). Error-correction modelling in discrete and continuous time. Economics Letters, 101(2), 140–141. doi:10.1016/j.econlet.2008.07.006 |
|