# Questions tagged [ecm]

Error Correction Model

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### Time series ARDL-model interpretation

Anyone knows how the interpretation of these ARDL models? Bounds test & ECT are easy to interpretation. But I want to say something about the short run and long run effects of variables. Long ...
19 views

### positive Error correction term, what could be wrong

here is the basic regression: log(Robots per capita)~share of midage+share of older+log(gdp) I obtain good results but all my variables are unit root. So I tried correcting this doing the following. (...
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### How to Test the Dynamic Stability of an ARDL Model

1) I have an ARDL model(1,2,3). How can I test whether it is dynamically stable and the inverse roots are inside the unit circle? Prof. David Giles suggested a trick to do so in Eviews a simple AR ...
17 views

### Cointegration in error correction model with only one nonstationary variable

I have three time series variables, two variables are stationary and one is non-stationary. Can we still search for the cointegration and use the error correction model or should I take the first ...
38 views

### Can an ECM be built such that new regressors enter in Stage 2?

If I have an ECM such that there are 2 cointegrated variables, $Z_t\sim I(1)$, $X_t\sim (1)$, and the equation in levels is $Z_t=a+bX_t+e_t$, $e_t\sim I(0)$, can I add other regressors to the 2nd ...
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### I have I(1) dependent, two I(0) and one I(2) independent variables, which model I have to use?

I want inflation forecast. I have I(1) dependent, two I(0) and one I(2) independent variables, how can I check co-integration and which model I have to use? I was about to use ARDL or ECM model, but ...
35 views

### what are the effects of a permanent shock to an cointegrated series in both the short and long run?

I have estimated an error correction model between two series that are co-integrated with an error correction term of -0.9057 and I need to discuss the effects of a permanent shock to my dependent ...
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2k views

### Using a ECM/VECM or ARDL model? Why and How?

I have a couple of question regarding the use ECM/VECM and Johansen test for cointegration.  In my model (6 variables), I have only one variable that is Stationary in its level, the remaining five ...
49 views

### How to rearrange formula - Error correction models

I am studying a time series subject but I am really struggling with the maths. Could someone please help me get from the first equation to the second equation? Apparently it has been reparameterised ...