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RBA Glossary definition for ECM

ECM – Error-correction ratio

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Exchange Rate Pass-through: The Different Responses of Importers and Exporters

30 Nov 2009 RDP PDF 114KB
Nevertheless, the coefficient on the errorcorrection term is significant for both the P-H ECM and the UECM. ... b) The Short-Run Dynamics. An ECM was estimated using residuals of the P-H estimator.
https://www.rba.gov.au/publications/rdp/1993/pdf/rdp9304.pdf

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

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

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

A Re-examination of the Determinants of Australia’s Imports

30 Nov 2009 RDP PDF 69KB
For the sake ofbrevity, long-run constants are not reported.) The existence of cointegration wastested by examining the significance of the error correcting terms in the P-H errorcorrection model (ECM). ... Standard errors of the ECM were corrected
https://www.rba.gov.au/publications/rdp/1993/pdf/rdp9312.pdf

Results

31 Dec 2007 RDP 2007-09
Lynne Cockerell and Steven Pennings
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

Private Business Investment in Australia

27 Sep 2007 RDP PDF 466KB
To allow for the potential non-stationarity of the series, error-correction models (ECMs) of the following form are estimated:. ... Table 5: Engineering ECM – Broad Specification Parsimonious. model (1) With RER (2) With Q (3) General (4).
https://www.rba.gov.au/publications/rdp/2007/pdf/rdp2007-09.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

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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Appendix C: Supplementary Results and Robustness

31 Dec 2004 RDP 2004-01
Ellis Connolly and Marion Kohler
represent significance at 5 and 10 per cent levels. Standard errors on the long-run variables in the ECMs are calculated using a Bewley Transformation. ... Table C2: Supplementary ECM Results for Voluntary Saving Equations. Long-run coefficients only,
https://www.rba.gov.au/publications/rdp/2004/2004-01/appendix-c.html
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