Error-correction modelling in discrete and continuous time

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 2
Pages: 140-141

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:2:p:140-141
Journal Field
General
Author Count
2
Added to Database
2026-01-25