ECM

I find it in Hamilton book as well

I think you have to read it carefully

it is a DF regression model

one of the key null hypothesis, true process, is the coefficient of time t is zero.

After estimation, the a*t term, a is expected to be zero

this is a test regression model, experts just add the time trend to enhence their results

anyway, read the book again

it is just a basic concept

As to this ECM model,I think there does exist some problem, especially in explaining real economic activities, like Hendry said in our seminar, granger's ECM misleading our current research.

james davidson seems make some progress on it, however, still follow granger's routine. Cannot make real improvement.

don't forget:
the cointegration test is a testing result, not a fact.
the significance of cointegration test cannot imply the significance of the adjustment coefficient in ECM directly.
if so, maybe cointegration test (trace or max-eigen test statistics) will be useless.
because you can use ECM to do the test straightforward.

不错呀!真是个好东东

学习了 顶一下

我也很疑问啊，最近用ECM模型研究上证AB股的关系，也出现误差修正项不显著的结果，这说明什么呢，怎么修正？请各位指点一二

fj102 发表于 2006-1-31 00:24
there should be two variable before your correction term
one is cointegration vector, the other one ...

你可真装逼  看的懂我说的么？