Intercountry evidence on the performance of the simple error correction mechanism model of consumption

B. H. Baltagi, M. Mokhtari

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

This paper estimates a simple error correction mechanism (SECM) model of consumption a la Davidson, Hendry, Srba and Yeo (1978) for 13 OECD countries over the period 1951-1982. This is done for each country separately as well as for the pooled data. The basic results of this study are the following: (i) The SECM model appears as an adequate approximation to the data generating process on an individual country basis as well as in a pooled context. (ii) The pooled within estimator indicates a large and significant disequilibrium term while the between estimator indicates a small and insignificant disequilibrium term. This is consistent with the belief that the within estimator tend to yield short-run estimates while the between estimator tend to yield long-run estimates.

Original languageEnglish (US)
Pages (from-to)303-314
Number of pages12
JournalEmpirical Economics
Volume15
Issue number4
DOIs
StatePublished - Dec 1 1990
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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