Growth Coefficients in Dynamic Time Series Models

K D Patterson

Oxford Economic Papers, 1987, vol. 39, issue 2, 282-92

Abstract: This study shows that the autoregressive distributed lag model encompasses error correction mechanisms (ECMs), partial adjustment models (PAMs), and models in the form of differences plus differences from equilibrium (DDEs); and demonstrates the links among these models and their steady state properties, using the concept of growth coefficients. ECMs are shown to achieve their desirable properties, as parameterizations, which ensure growth coefficients to a certain order, are identically zero. The magnitude of the steady-state flow error and the steady-state integral error are shown to be functions of the growth coefficients. These results should assist in both the a priori and empirical criteria for choosing model specifications. Copyright 1987 by Royal Economic Society.

Date: 1987
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