Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-3952
Publication type: | Article in scientific journal |
Type of review: | Peer review (publication) |
Title: | Biased estimation in a simple extension of a standard error correction model |
Authors: | Müller, Christian |
DOI: | 10.21256/zhaw-3952 10.1007/BF03399274 |
Published in: | Swiss Journal of Economics and Statistics |
Volume(Issue): | 145 |
Issue: | 1 |
Page(s): | 37 |
Pages to: | 60 |
Issue Date: | 2009 |
Publisher / Ed. Institution: | Springer |
ISSN: | 2235-6282 0303-9692 |
Language: | English |
Subjects: | Forecasting; Rational expectation; ZWP; Policy analysis |
Subject (DDC): | 330: Economics |
Abstract: | This paper considers an expectations augmented version of the Engle and Granger (1987) error correction model and shows that standard inference about the adjustment coefficients can be severely biased. This has implications for long-run causality and impulse-response analysis in particular. However, a sometimes simple remedy exists which only requires some additional regressions. The results are illustrated using U.S., German and Swiss data |
URI: | https://digitalcollection.zhaw.ch/handle/11475/9781 |
Fulltext version: | Published version |
License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
Departement: | School of Management and Law |
Organisational Unit: | Center for Labor, Digital and Regional Economics (CLDR) |
Appears in collections: | Publikationen School of Management and Law |
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Müller2009_Article_BiasedEstimationInASimpleExten(1).pdf | 231.43 kB | Adobe PDF | View/Open |
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Müller, C. (2009). Biased estimation in a simple extension of a standard error correction model. Swiss Journal of Economics and Statistics, 145(1), 37–60. https://doi.org/10.21256/zhaw-3952
Müller, C. (2009) ‘Biased estimation in a simple extension of a standard error correction model’, Swiss Journal of Economics and Statistics, 145(1), pp. 37–60. Available at: https://doi.org/10.21256/zhaw-3952.
C. Müller, “Biased estimation in a simple extension of a standard error correction model,” Swiss Journal of Economics and Statistics, vol. 145, no. 1, pp. 37–60, 2009, doi: 10.21256/zhaw-3952.
MÜLLER, Christian, 2009. Biased estimation in a simple extension of a standard error correction model. Swiss Journal of Economics and Statistics. 2009. Bd. 145, Nr. 1, S. 37–60. DOI 10.21256/zhaw-3952
Müller, Christian. 2009. “Biased Estimation in a Simple Extension of a Standard Error Correction Model.” Swiss Journal of Economics and Statistics 145 (1): 37–60. https://doi.org/10.21256/zhaw-3952.
Müller, Christian. “Biased Estimation in a Simple Extension of a Standard Error Correction Model.” Swiss Journal of Economics and Statistics, vol. 145, no. 1, 2009, pp. 37–60, https://doi.org/10.21256/zhaw-3952.
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