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Error-correction modelling in discrete and continuous time

This paper studies the model equation YT = [lambda]YT - 1 + [alpha]0XT + [alpha]1XT - 1 and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about [alpha]0 / [alpha]1 we find that this underlying equation is not a Koyck partial adjustment model, but again an error-correction model. An illustration is given.
Year of publication:
2008
Authors: ten Cate, Arie ; Franses, Philip Hans
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 2, p. 140-141
Publisher: Elsevier
Subject: Error-correction model Continuous time
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005257833
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