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 given to deviations from the steady state prior to the most recent period – and the error correction model based on the idea of multicointegration.

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Year of publication:	2013
Authors:	Scheiblecker, Marcus
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 31.2013, C, p. 511-517
Publisher:	Elsevier
Subject:	Cumulative error correction model \| Cointegration \| Consumption \| Income

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Type of publication:	Article
Classification:	C5 - Econometric Modeling ; E21 - Consumption; Saving ; E41 - Demand for Money
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010636324