Mean lag in general error correction models

Peter Fuleky and Luigi Ventura

Economics Letters, 2016, vol. 143, issue C, 107-110

Abstract: Most of the empirical literature inappropriately applies Hendry’s (1995) mean lag formula–which he derived for first order autoregressive distributed lag models under the assumption of a homogeneous long-run equilibrium–to error correction models that have complex lag structures and lack long-run homogeneity. We derive an expression for the mean lag in general error correction models without imposing the assumption of a homogeneous equilibrium. In addition, we quantify the bias due to the incorrect use of Hendry’s (1995) formula.

Keywords: Mean lag; Autoregressive distributed lag model; Error correction model (search for similar items in EconPapers)
JEL-codes: B41 C18 C22 C32 C50 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516300994
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:143:y:2016:i:c:p:107-110

DOI: 10.1016/j.econlet.2016.03.028

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().