error correction model

Show Summary Details

Quick Reference


A dynamic model in which the change of the variable in the current time period is related to the distance between its value in the previous period and its value in the long-run equilibrium. This model is frequently used to estimate a short-run dynamic relationship between cointegrated variables and their rate of adjustment to the long-run equilibrium relationship.

Subjects: Economics.

Reference entries

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.