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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

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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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

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

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

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 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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Trade Invoicing Currency and First-stage Exchange Rate Pass-through

21 Jun 2016 RDP PDF 1136KB
aggregate error correction models (ECMs) of import prices. Third, we show that invoicing currency. ... Our results imply. that the speed of adjustment in an ECM framework for exchange rate changes to import prices.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-05.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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Household Saving and Asset Valuations in Selected Industrialised Countries

2 Dec 2009 RDP PDF 212KB
12. The associated short-term specification of the ECM is:. st = α1ECMt1α2yt α3pteqα3pt. ... From the ECM estimations, reported in Table 1, the following observations can bemade:. •
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-07.pdf