Search: ECM
RBA Glossary definition for ECM
ECM – Error-correction ratio
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Estimation
31 Dec 2003
RDP
2003-07
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
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
The Liberalisation and Integration of Domestic Financial Markets in Western Pacific Economies
1 Dec 2009
RDP
PDF
253KB
9 Cottarelli and Kourelis (1994) state that an ECM performs poorly, but this is because they. ... from the ECM as 1. 2. 1, β β. The pricing rules suggest that.
https://www.rba.gov.au/publications/rdp/1995/pdf/rdp9506.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
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
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
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
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
See 1 more results from "RDP 9314"
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
Why Does the Australian Dollar Move so Closely with the Terms of Trade?
1 Dec 2009
RDP
PDF
203KB
q tott t t= >λ ε λ. , 0 (6). To derive the second time-series model for Australia’s real exchange rate, we beginwith an unrestricted error-correction model (ECM):.
https://www.rba.gov.au/publications/rdp/1996/pdf/rdp9601.pdf