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RBA Glossary definition for ECM

ECM – Error-correction ratio

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A Perspective | Conference – 1993

12 Jul 1993 Conferences
Adrian Pagan
If the ECM term is included, the BWFH model actually has a much lower bias in forecasts than the random walk model, although it exhibits a slightly larger standard deviation. ... Another possibility would be to introduce a non-linear function of the
https://www.rba.gov.au/publications/confs/1993/pagan.html

Introduction

1 Jul 2016 RDP 2016-05
Christian Gillitzer and Angus Moore
Our findings of highly persistent deviations from the law of one price imply a very slow speed of adjustment in aggregate error correction models (ECMs) of import prices. ... the ECM they use imposes the law of one price, first-stage pass-through is
https://www.rba.gov.au/publications/rdp/2016/2016-05/introduction.html
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The Demand for Money in Australia: New Tests on an Old Topic

30 Nov 2009 RDP PDF 135KB
ECM estimatedincluding short-terminterest rate. Lim (1991) Real currency, realbank deposits andreal non-bankdeposits (GDPdeflator). ... ECM estimatedincluding bill rate. 7. Lim andDixon (1991). Real currency (GNEdeflator).
https://www.rba.gov.au/publications/rdp/1993/pdf/rdp9314.pdf

Appendix 3: Results

1 Dec 1993 RDP 9312
Jacqueline Dwyer and Christopher Kent
correction model (ECM). ... Standard errors of the ECM were corrected for hetroscedasticity and autocorrelation where necessary.
https://www.rba.gov.au/publications/rdp/1993/9312/appendix-3.html

An Empirical Examination of the Fisher Effect in Australia

30 Nov 2009 RDP PDF 96KB
The instruments used inthe results reported in Table 4 included the regressors of the ECM which were significant atthe 5% level. ... two step method and the ECM equations reported in Table 3 using similarMonte Carlo simulations to those used in Table A1.
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9410.pdf

Australia’s Medium-run Exchange Rate: A Macroeconomic Balance Approach

2 Dec 2009 RDP PDF 217KB
We also compared the results to ECM and OLS estimates. Appendix C contains the details.
https://www.rba.gov.au/publications/rdp/2003/pdf/rdp2003-03.pdf

Empirical Assessment

31 Dec 2006 RDP 2006-07
Paul Hiebert
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

Discussion of Determinants of Agricultural and Mineral Commodity Prices

10 May 2010 Conferences PDF 186KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/frankel-rose-disc.pdf

Appendix A: Power Calculations

1 Dec 1994 RDP 9410
Frederic S. Mishkin and John Simon
0.119. 0.142. Tables A2 and A3 contains the power calculations for test statistics from the Engle Granger two step method and the ECM equations reported in Table 3 using ... 0.363. 0.275. Table A3: Power of ECM Co-Integration Tests in Table 3.
https://www.rba.gov.au/publications/rdp/1994/9410/appendix-a.html
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Household Economic Inequality in Australia

25 Oct 2017 RDP PDF 4842KB
27. 5.1 Error Components Model. We next use an error components model (ECM) to decompose residual incomeinequality. ... The ECM has been standard in the inequality literature sinceGottschalk and Moffitt (1994).
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-15.pdf