Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models

This study proposes a cumulative error correction model where the summing weights follow a geometrically decreasing function of prior deviations from the equilibrium and are estimated from the data. It is shown that this approach nests both the traditional error correction model – where no weight is...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Economic modelling 2013-03, Vol.31, p.511-517
1. Verfasser:	Scheiblecker, Marcus
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration Consumption Cumulative error correction model Disposable income Dynamical systems Elasticity Error correction & detection Income Studies Time series
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!