Arbeitspapier
Error correction in DHSY
In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has better post-sample forecasting properties than the former equation. This contradiction is explained and the two equations reconciled in a nonlinear framework by applying a smooth transition regression model to the data.
- Sprache
-
Englisch
- Erschienen in
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 517
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Macroeconomics: Consumption; Saving; Wealth
- Thema
-
consumption equation
model misspecification testing
nonlinearity
smooth transition regression
Konsumtheorie
Schätzung
Theorie
Fehlerkorrekturmodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eliasson, Ann-Charlotte
Teräsvirta, Timo
- Ereignis
-
Veröffentlichung
- (wer)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (wo)
-
Stockholm
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eliasson, Ann-Charlotte
- Teräsvirta, Timo
- Stockholm School of Economics, The Economic Research Institute (EFI)
Entstanden
- 2002
Ähnliche Objekte (12)
Error-correction versus Differencing in Macroeconomic Forecasting
Error-Correction Versus Differencing in Macroeconometric Forecasting
Bootstrap inference in single equation error correction models
Wage drift and error correction: Evidence from Finland
Short-Run Elasticity of Substitution - Error Correction Model
Error correction models for fractionally cointegrated time series
Automatic identification of general vector error correction models
Testing for cointegration in nonlinear STAR error correction models
Determination of vector error correction models in high dimensions
Stochastic model specification in Markov switching vector error correction models
Sources of German unemployment: A structural vector error correction analysis
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship
Error-correction versus Differencing in Macroeconomic Forecasting
Error-Correction Versus Differencing in Macroeconometric Forecasting
Bootstrap inference in single equation error correction models
Wage drift and error correction: Evidence from Finland
Short-Run Elasticity of Substitution - Error Correction Model
Error correction models for fractionally cointegrated time series
Automatic identification of general vector error correction models
Testing for cointegration in nonlinear STAR error correction models
Determination of vector error correction models in high dimensions
Stochastic model specification in Markov switching vector error correction models
Sources of German unemployment: A structural vector error correction analysis
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship
Error-correction versus Differencing in Macroeconomic Forecasting
Error-Correction Versus Differencing in Macroeconometric Forecasting
Bootstrap inference in single equation error correction models
Wage drift and error correction: Evidence from Finland
Short-Run Elasticity of Substitution - Error Correction Model
Error correction models for fractionally cointegrated time series
Automatic identification of general vector error correction models
Testing for cointegration in nonlinear STAR error correction models
Determination of vector error correction models in high dimensions
Stochastic model specification in Markov switching vector error correction models
Sources of German unemployment: A structural vector error correction analysis