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RBA Glossary definition for ECM

ECM – Error-correction ratio

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Empirical Results

1 Dec 1995 RDP 9511
Steven Morling and Robert Subbaraman
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

Do Interest Rates Affect Business Investment? Evidence from Australian Company-level Data

27 Apr 2018 RDP PDF 1257KB
and economy-wide changes in the relative price of capital goods. This model can be re-parameterised as an error correction model (ECM), which allows for easy. ... While this. should not introduce any estimation issues, the model is no longer an ECM as
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-05.pdf

Explaining Import Price Inflation: A Recent History of Second Stage Pass-through

30 Nov 2009 RDP PDF 105KB
b) In the ECM, t-statistics for differenced terms are distributed standard t; thedistribution of the coefficient on p t( ) 1 lies somewhere between theDickey-Fuller and N(0, 1) distributions; ... c) In the ECM, statistics for differenced terms are
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9407.pdf

Modelling Strategy and Results

31 Dec 2005 RDP 2005-12
Gianni La Cava
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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Reduced-form Model

6 May 2018 RDP 2018-05
Jonathan Hambur and Gianni La Cava
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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Microeconomics of the Australian Labour Market

7 Dec 2006 Conferences PDF 65KB
RBA Conference Volume 1998
https://www.rba.gov.au/publications/confs/1998/pdf/freebairn.pdf

An Analysis of the Determinants of Imports

19 Nov 2012 RDP PDF 966KB
Finally, the full error correction models (ECM) are estimated. Initially four lags of each of the differenced explanators are included, and then the. ... These quite different paths to the new equilibrium in response to a demand shock can be explained by
https://www.rba.gov.au/publications/rdp/1989/pdf/rdp8910.pdf

Discussion on Determinants of Agricultural and Mineral Commodity Prices | Conference – 2009

17 Aug 2009 Conferences
One way of modelling this short-run dependence might be to estimate a seemingly unrelated regression (SUR) on individual error correction mechanism (ECM) relationships. ... A VECM or system ECM approach might shed some different light on what drives
https://www.rba.gov.au/publications/confs/2009/frankel-rose-disc.html

Superannuation and Saving

1 Dec 2009 RDP PDF 102KB
SUPERANNUATION AND SAVING. Steven Morling and Robert Subbaraman. Research Discussion Paper. 9511. December 1995. Economic Analysis Department. Reserve Bank of Australia. The authors would like to thank Palle Andersen, Robin Foster, Alison Tarditi,
https://www.rba.gov.au/publications/rdp/1995/pdf/rdp9511.pdf

Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia

2 Dec 2009 RDP PDF 130KB
23 Time series estimation techniques such as an error correction model (ECM) allow us alsoto judge how long it takes for the long-run effects of a permanent wealth change to ... IV ECM DOLS IV ECM DOLS. Yt 0.713 0.803 0.661 0.645 0.696 0.592.
https://www.rba.gov.au/publications/rdp/2003/pdf/rdp2003-07.pdf