Search: ECM
RBA Glossary definition for ECM
ECM – Error-correction ratio
Search Results
Core Equations
23 Aug 2019
RDP
2019-07
In all the ECM equations, the symbol. γ. is the speed of adjustment parameter and error. ... We model dwelling investment using an ECM with consumption, real mortgage interest rates and the relative price of dwelling investment.
https://www.rba.gov.au/publications/rdp/2019/2019-07/core-equations.html
See 2 more results from "RDP 2019-07"
Reduced-form Model
6 May 2018
RDP
2018-05
This model can be re-parameterised as an error correction model (ECM), which allows for easy identification of the long- and short-run dynamics:. ... While this should not introduce any estimation issues, the model is no longer an ECM as gross investment
https://www.rba.gov.au/publications/rdp/2018/2018-05/reduced-form-model.html
See 1 more results from "RDP 2018-05"
Introduction
1 Jul 2016
RDP
2016-05
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
See 2 more results from "RDP 2016-05"
The Baseline ECM
31 Dec 2015
RDP
2015-12
RDP 2015-12: Modelling the Australian Dollar 3. The Baseline ECM. Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright. ... Download the Paper 1.39. MB. The baseline ECM is specified to address the following question:.
https://www.rba.gov.au/publications/rdp/2015/2015-12/the-baseline-ecm.html
See 8 more results from "RDP 2015-12"
Transitory and Persistent Income Inequality
31 Dec 2015
RDP
2015-15
We next use an error components model (ECM) to decompose residual income inequality. ... The ECM has been standard in the inequality literature since Gottschalk and Moffitt (1994).
https://www.rba.gov.au/publications/rdp/2015/2015-15/transitory-and-persistent-income-inequality.html
Appendix B: Levels or Differences?
31 Dec 2014
RDP
2014-12
Table B1 shows the results for Model 2 estimated in error correction form (ECM). ... However, the variances of some of the shocks are smaller in the ECM model.
https://www.rba.gov.au/publications/rdp/2014/2014-12/appendix-b.html
Results
31 Dec 2007
RDP
2007-09
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
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
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
See 1 more results from "RDP 2005-12"
Appendix C: Supplementary Results and Robustness
31 Dec 2004
RDP
2004-01
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
See 1 more results from "RDP 2004-01"