Search: ECM

Sort by: Relevance Date
12 of 2 collapsed search results for ECM

RBA Glossary definition for ECM

ECM – Error-correction ratio

Search Results

Appendix 2: Test Procedures

1 Dec 1993 RDP 9314
Gordon de Brouwer, Irene Ng and Robert Subbaraman
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
Gordon de Brouwer, Irene Ng and Robert Subbaraman
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