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引用
期刊论文
Local Influence on the Error-Correction Variable in a Cointegrated System*
Journal of Systems Engineering and Electronics, Vol.12, No.3, 2001, pp.l~8,-0001,():
The concept of cointegration describes an equilibrium relationship among a set of time-varying variables: and the cointegrated relationship can be represented through an error-correction model (ECM). The error-correction variahle, which represents the short-run discrepancy from the equilibrium state in a cointegrated system, plays an important role in the ECM. It is natural to ask how the error-correction mechanism works, or equivalently, how the short-run discrepancy affects the development of the cointegrated system? This paper examines the effect or local influence on the error-correction variable in an error-correction model. Following the argument of the second-order approach to local influence suggested by reference [5], we develop a diagnostic statistic to examine the local influence on the estimation of the parameter associated with the error-correctlon variable in an ECM. An empirical example is presented to illustrate the appilcation of the proposed diagnostic. We find that the short-run discrepancy may have strong influence on the estimation of the parameter associated with the error-correction model. It is the error-correction variable that the short-run discrepancies can he incorporated through the error-correction mechanism.
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