An error correction model (ECM) is a type of time series model commonly applied when the underlying variables share a long-run stochastic trend, a property known as cointegration. ECMs provide a theoretically grounded framework for estimating both short-run dynamics and long-run relationships among variables.
An error correction model (ECM) is a type of time series model commonly applied when the underlying variables share a long-run stochastic trend, a property known as cointegration. ECMs provide a theoretically grounded framework for estimating both short-run dynamics and long-run relationships among variables.
Source: Wikipedia "Error correction model" · CC BY-SA 4.0
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