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RBA Glossary definition for ECM

ECM – Error-correction ratio

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Discussion on Determinants of Agricultural and Mineral Commodity Prices | Conference – 2009

17 Aug 2009 Conferences
One way of modelling this short-run dependence might be to estimate a seemingly unrelated regression (SUR) on individual error correction mechanism (ECM) relationships. ... A VECM or system ECM approach might shed some different light on what drives
https://www.rba.gov.au/publications/confs/2009/frankel-rose-disc.html

Towards an Understanding of Australia’s Co-movement with Foreign Business Cycles

1 Dec 2009 RDP PDF 148KB
TOWARDS AN UNDERSTANDING OF AUSTRALIA’SCO-MOVEMENT WITH FOREIGN BUSINESS CYCLES. Nicolas de Roos and Bill Russell. Research Discussion Paper. 9607. November 1996. Economic Research Department. Reserve Bank of Australia. We would like to especially
https://www.rba.gov.au/publications/rdp/1996/pdf/rdp9607.pdf

Do Interest Rates Affect Business Investment? Evidence from Australian Company-level Data

27 Apr 2018 RDP PDF 1257KB
and economy-wide changes in the relative price of capital goods. This model can be re-parameterised as an error correction model (ECM), which allows for easy. ... While this. should not introduce any estimation issues, the model is no longer an ECM as
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-05.pdf

A State-space Approach to Australian GDP Measurement

4 Feb 2015 RDP PDF 904KB
Research Discussion Paper. A State-space Approach to Australian GDP Measurement. Daniel Rees, David Lancaster and Richard Finlay. RDP 2014-12. The Discussion Paper series is intended to make the results of the current economic research within the
https://www.rba.gov.au/publications/rdp/2014/pdf/rdp2014-12.pdf

Estimation

31 Dec 2003 RDP 2003-07
Nikola Dvornak and Marion Kohler
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

Methodology

1 Dec 1989 RDP 8910
Tracey Horton and Jenny Wilkinson
Finally, the full error correction models (ECM) are estimated. Initially four lags of each of the differenced explanators are included, and then the insignificant explanators are dropped from the equation to
https://www.rba.gov.au/publications/rdp/1989/8910/methodology.html
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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

Microeconomics of the Australian Labour Market

7 Dec 2006 Conferences PDF 65KB
RBA Conference Volume 1998
https://www.rba.gov.au/publications/confs/1998/pdf/freebairn.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