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RBA Glossary definition for ECM

ECM – Error-correction ratio

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The Impact of Superannuation on Household Saving

3 Mar 2004 RDP PDF 151KB
20. Table 3: ECM Results for Saving Equations – Long-run CoefficientsSample: 1966/67–2001/02. ... Standard errors on the long-run variables in the ECMs are calculated using a Bewley-Transformation andare Newey-West corrected for heteroskedasticity.
https://www.rba.gov.au/publications/rdp/2004/pdf/rdp2004-01.pdf

Appendix C: Time Series Properties and Model Selection

31 Dec 2003 RDP 2003-03
Nikola Dvornak, Marion Kohler and Gordon Menzies
Finally, we compared our results from the VECM estimation with ECM and OLS estimates to ensure the signs and magnitudes were similar. ... In Table C6 we present each VECM estimate and the corresponding ECM estimate.
https://www.rba.gov.au/publications/rdp/2003/2003-03/appendix-c.html
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Estimation

31 Dec 2003 RDP 2003-07
Nikola Dvornak and Marion Kohler
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

Empirical Results

31 Dec 2000 RDP 2000-09
Alvin Tan and Graham Voss
4). Constant. 0.0466. (0.0213). 0.0545. (0.0158). 0.0384. (0.0226). 0.0502. (0.0182). ecm. ... 0.0541). ecm. t1. 0.0869. (0.0810). 0.5715. (0.2489). 0.3757. (0.1140). Δc. t1.
https://www.rba.gov.au/publications/rdp/2000/2000-09/empirical-results.html

Appendix A: Empirical Estimates of Australia's Co-Movement With Foreign Business Cycles

1 Nov 1996 RDP 9607
Nicolas de Roos and Bill Russell
Coefficient on growth in US GDP is 0.5 and on the ECM 0.48. ... Methodology Unrestricted ECM between Australian GDP, OECD GDP and components of Australian GDP.
https://www.rba.gov.au/publications/rdp/1996/9607/appendix-a.html

A Behavioural Model of the Australian Long-Term Interest Rate

1 Nov 1996 RDP 9608
Alison Tarditi
This is achieved by estimating an unrestricted ECM of the form:.
https://www.rba.gov.au/publications/rdp/1996/9608/behavioural-model-of-the-australian-long-term-interest-rate.html

Modelling the Real Exchange Rate

1 May 1996 RDP 9601
David Gruen and Tro Kortian
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

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

Appendix 2: Design of the Empirical ECM

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
RDP 9510: Modelling Inflation in Australia Appendix 2: Design of the Empirical ECM. ... autoregressive distributed lag for the CPI is simplified to the ECM in (17).
https://www.rba.gov.au/publications/rdp/1995/9510/appendix-2.html
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Correlations, Error-Correction and the Adjustment of Institutional Interest Rates

1 Sep 1995 RDP 9506
Gordon de Brouwer
The equilibrium relationship is conducted using a general-to-specific modelling procedure embedded in an ECM (Banerjee, Dolado, Galbraith and Hendry 1993). ... The cointegrating vector normalised on the money market interest rate is calculated from the
https://www.rba.gov.au/publications/rdp/1995/9506/correlations-error-correction-and-the-adjustment-of-institutional-interest-rates.html