Working Paper
Conditional and structural error correction models
Abstract: A \"structural\" error correction model (in Boswijk's sense) is a representation of a conditional error correction model that satisfies certain restrictions. This paper examines the conditions under which such a structural error correction model exists and when the associated representation is of interest. To clarify the nature of such models, several analytical and empirical examples are considered, which violate those conditions. Structural error correction models are economically appealing, but their limitations imply that some care must be taken when applying them in practice.
Access Documents
File(s): File format is text/html http://www.federalreserve.gov/pubs/ifdp/1994/487/default.htm
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/1994/487/ifdp487.pdf
Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: International Finance Discussion Papers
Publication Date: 1994
Number: 487