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Error Correction Model

Error Correction Model

Paperback

General Computers

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ISBN10: 6132959882
ISBN13: 9786132959881
Publisher: Vdm Verlag Dr Mller Ag & Co Kg
Pages: 108
Weight: 0.37
Height: 0.26 Width: 9.02 Depth: 6.00
Language: English
High Quality Content by WIKIPEDIA articles! An error correction model is a dynamical system with the characteristics that the deviation of the current state from its long-run relationship will be fed into its short-run dynamics. An error correction model is not a model that corrects the error in another model. A rough long-run relationship can be determined by the cointegration vector, and then this relationship can be utilized to develop a refined dynamic model which can have a focus on long-run or transitory aspect such as the two VECM of a usual VAR in Johansen test.Vector error correction model is adding error correction feature to a multi-factor model such as a vector autoregression model.

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