Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models

Marcus Scheiblecker

Economic Modelling, 2013, vol. 31, issue C, 511-517

Abstract: This study proposes a cumulative error correction model where the summing weights follow a geometrically decreasing function of prior deviations from the equilibrium and are estimated from the data. It is shown that this approach nests both the traditional error correction model – where no weight is given to deviations from the steady state prior to the most recent period – and the error correction model based on the idea of multicointegration.

Keywords: Cumulative error correction model; Cointegration; Consumption; Income (search for similar items in EconPapers)
JEL-codes: C5 E21 E41 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Working Paper: Between Cointegration and Multicointegration. Modelling Time Series Dynamics by Cumulative Error Correction Models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:31:y:2013:i:c:p:511-517

DOI: 10.1016/j.econmod.2012.11.042

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