Search: ECM
RBA Glossary definition for ECM
ECM – Error-correction ratio
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Appendix A: Power Calculations
1 Dec 1994
RDP
9410
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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Estimating The Second Stage of Price Adjustment
1 Dec 1994
RDP
9407
c) In the ECM, statistics for differenced terms are distributed standard t; the distribution of the lagged levels is not known.
https://www.rba.gov.au/publications/rdp/1994/9407/estimating-second-adjustment.html
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Appendix 3: Results
1 Dec 1993
RDP
9312
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
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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Appendix 4: Error Correction Model Results
1 May 1993
RDP
9304
RDP 9304: Exchange Rate Pass-Through: The Different Responses of Importers and Exporters Appendix 4: Error Correction Model Results. Jacqueline Dwyer, Christopher Kent and Andrew Pease. May 1993. Download the Paper 115. KB. dependent variable –
https://www.rba.gov.au/publications/rdp/1993/9304/appendix-4.html
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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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