Non-linear error correction, asymmetric adjustment and cointegration

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dc.contributor.author Escribano, Álvaro
dc.contributor.author Pfann, Gerard
dc.date.accessioned 2009-02-10T14:16:26Z
dc.date.available 2009-02-10T14:16:26Z
dc.date.issued 1998
dc.identifier.bibliographicCitation Economic Modelling, 1998, vol. 15, nº 2, p.197-216
dc.identifier.issn 0264-9993
dc.identifier.uri http://hdl.handle.net/10016/2559
dc.description.abstract This article links the intertemporal choice model with the non-linear error correction (NEC) model. It has three main components. First, it outlines a model of non-linear error correction, in which the linear error correction term ?Xt (the vector time series Xt is cointegrated, is the cointegrating vector) is replaced by the non-linear term g(?Xt), where g(.) is a non-linear function. Second, several types of asymmetries and the existence of multiple equilibria are discussed. The implications for the NEC model of trending targets are also explained. Third, it is shown that non-linear error correction is present in a trivariate series of UK employment, wage and capital stock.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Non-linear error correction
dc.subject.other Asymmetric adjustment
dc.subject.other Multiple equilibria
dc.subject.other Intertemporal optimization
dc.title Non-linear error correction, asymmetric adjustment and cointegration
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www.sciencedirect.com
dc.relation.publisherversion http://dx.doi.org/10.1016/S0264-9993(97)00023-0
dc.subject.jel C00
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/S0264-9993(97)00023-0
dc.rights.accessRights openAccess
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