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1–2 of 2 collapsed search results for ECM

RBA Glossary definition for ECM

ECM – Error-correction ratio

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Estimating The Second Stage of Price Adjustment

1 Dec 1994 RDP 9407
Jacqueline Dwyer and Ricky Lam
c) In the ECM, statistics for differenced terms are distributed standard t; the distribution of the lagged levels is not known.
https://www.rba.gov.au/publications/rdp/1994/9407/estimating-second-adjustment.html

Estimating The First Stage of Price Adjustment

1 Dec 1994 RDP 9407
Jacqueline Dwyer and Ricky Lam
b) In the ECM, t-statistics for differenced terms are distributed standard t; the distribution of the coefficient on p(t 1) lies somewhere between the Dickey-Fuller and N(0,
https://www.rba.gov.au/publications/rdp/1994/9407/estimating-first-adjustment.html