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

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  • Scheiblecker, Marcus
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.

Suggested Citation

  • Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    • Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:511-517
    DOI: 10.1016/j.econmod.2012.11.042
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    Cited by:

    1. Marcus Scheiblecker, 2017. "Modelling Short-run Money Demand for the US," Applied Economics and Finance, Redfame publishing, vol. 4(5), pages 9-20, September.

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    More about this item

    Keywords

    Cumulative error correction model; Cointegration; Consumption; Income;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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