Search: ECM
RBA Glossary definition for ECM
ECM – Error-correction ratio
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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
The Data and Their Order of Integration
1 Dec 1993
RDP
9314
ECM estimated including short-term interest rate. Lim (1991). Real currency, real bank deposits and real non-bank deposits (GDP deflator). ... ECM estimated including bill rate. Lim and Dixon (1991). Real currency (GNE deflator).
https://www.rba.gov.au/publications/rdp/1993/9314/data-order-integration.html