Biased estimation in a simple extension of a standard error correction model

Müller, Christian

doi:10.21256/zhaw-3952

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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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.