Error-correction modelling in discrete and continuous time
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.
|Keywords||continuous time, error-correction model|
|JEL||Econometrics (jel C01), Time-Series Models; Dynamic Quantile Regressions (jel C32)|
|Persistent URL||dx.doi.org/10.1016/j.econlet.2008.07.006, hdl.handle.net/1765/13440|
|Series||Econometric Institute Reprint Series|
Cate, A, ten, & Franses, Ph.H.B.F. (2008). Error-correction modelling in discrete and continuous time. Economics Letters, 101(2), 140–141. doi:10.1016/j.econlet.2008.07.006