Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185908
Authors: 
Müller-Kademann, Christian
Year of Publication: 
2009
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 145 [Year:] 2009 [Issue:] 1 [Pages:] 37-60
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.
Subjects: 
policy analysis
forecasting
rational expectations
error correction
JEL: 
C51
E37
E47
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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