This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been noted before. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps. JEL Classification Code: C32

Money demand in Venezuela is modeled using structural time series and error correction approaches, for the period 1993.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series approach. There are similarities in the long-run behavior of money demand associated with the structural time series and error correction approaches. Estimated ...

This paper estimates the speed of the adjustment coefficient in structural error correction models (ECM) and employs a system method for real exchange rates with Hansen and Sargent’s (1980, 1982) IV methods. Empirical results show that the half-lives of purchasing power parity deviations are less than one year in most cases. JEL classification: C22, F31, F41

A nonlinear smooth transition regression (STR) model of the demand for narrow money in Colombia is specified using monthly data for cash, prices, the scale variable (industrial GDP), the interest rate and the rate of depreciation, within the single equation framework allowed by the data. In comparison with the linear error correction model, the nonlinear specification is highly superior accordi...

The purpose of this paper is to identify structural changes in the Korean housing market for evaluating the sustainability of the Korean housing market and to derive important implications to seek housing business strategies and public policies. Two time periods were analyzed: April 2001–December 2007 and January 2008–December 2014 to identify the impact after the global financial crisis of 200...

This paper focuses on replication in the sense of Herrnson (1995). It reexamines the only study of an Irish popularity function (Borooah and Borooah, 1990) in the light of recent developments in econometric methodology and in Irish politics. Using error correction models the analysis provides an alternative account of the relationship between economics and government popularity to that provided...

In the present paper, it is studied the price relations and how price is transmitted between the producer level and the consumer level for lamb meat. Data used in the research include consumer price index and producer price index for lamb meat covering monthly periods of 91 months since March 2001 through September 2008. Johansen's and Juselius's cointegration method and Granger causality test ...

This paper considers nonlinear dynamics of quotes issued by Nasdaq dealers. We study the top two ECN’s (Island and Instinet) and the three most active market makers for a sample of twenty stocks traded at Nasdaq. We develop a model that extends the standard linear vector error correction model for price discovery in three different ways. First, quote adjustments are set relative to the inside q...