Search: ECM
RBA Glossary definition for ECM
ECM – Error-correction ratio
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Results
31 Dec 2007
RDP
2007-09
To allow for the potential non-stationarity of the series, error-correction models (ECMs) of the following form are estimated:. ... Table 2: Investment ECM – Narrow Specification. Equipment (1). 1974–2006. Building (2).
https://www.rba.gov.au/publications/rdp/2007/2007-09/results.html
Empirical Assessment
31 Dec 2006
RDP
2006-07
From the ECM estimations, reported in Table 1, the following observations can be made:. ... 0.96. 0.37. 0.39. Notes: ECM(1) indicates lagged error term from level equation.
https://www.rba.gov.au/publications/rdp/2006/2006-07/empirical-assessment.html
Methodology
1 Dec 1989
RDP
8910
Finally, the full error correction models (ECM) are estimated. Initially four lags of each of the differenced explanators are included, and then the insignificant explanators are dropped from the equation to
https://www.rba.gov.au/publications/rdp/1989/8910/methodology.html
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MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy
1 Aug 2019
RDP
2019-07
In all the ECM equations, the symbol. γ. is the speed of adjustment parameter and error. ... We model dwelling investment using an ECM with consumption, real mortgage interest rates and the relative price of dwelling investment.
https://www.rba.gov.au/publications/rdp/2019/2019-07/full.html
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Empirical Results
1 Dec 1995
RDP
9511
The model is estimated over the period 1959/60 to 1993/94 as an unrestricted error correction model (ECM). ... Table 4: Unrestricted ECM. Dependent variable: Æ non-super. saving (/Y), sample period: 1959/60–1993/94.
https://www.rba.gov.au/publications/rdp/1995/9511/empirical-results.html
Reduced-form Model
6 May 2018
RDP
2018-05
This model can be re-parameterised as an error correction model (ECM), which allows for easy identification of the long- and short-run dynamics:. ... While this should not introduce any estimation issues, the model is no longer an ECM as gross investment
https://www.rba.gov.au/publications/rdp/2018/2018-05/reduced-form-model.html
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Modelling Strategy and Results
31 Dec 2005
RDP
2005-12
The Error Correction Model (ECM) specification can be derived from this static capital demand equation. ... The first model (EC1) is the standard ECM without cash flow in the formulation.
https://www.rba.gov.au/publications/rdp/2005/2005-12/modelling-strategy-results.html
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Appendix 2: Test Procedures
1 Dec 1993
RDP
9314
The loading vectors may be interpreted analogously to the coefficient on the error-correction variable in the ECM of Engle and Granger (1987).
https://www.rba.gov.au/publications/rdp/1993/9314/appendix-2.html
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Estimation
31 Dec 2003
RDP
2003-07
All equity. Direct equity only. IV. ECM. DOLS. IV. ECM. DOLS. ... Time series estimation techniques such as an error correction model (ECM) allow us also to judge how long it takes for the long-run effects of a permanent wealth change to
https://www.rba.gov.au/publications/rdp/2003/2003-07/estimation.html
Modelling the Real Exchange Rate
1 May 1996
RDP
9601
To derive the second time-series model for Australia's real exchange rate, we begin with an unrestricted error-correction model (ECM):. ... For each sample period, we use a general-to-specific modelling approach. We test sequentially larger sets of
https://www.rba.gov.au/publications/rdp/1996/9601/modelling-the-real-exchange-rate.html