Error Correction Model

The method is used to correct errors in data. To set up method parameters, use the Equation side panel tab.

To display the tab

Method parameters:

• Type of Error Correction Model. Select the required model type:

• • Without Trend in Autoregression, without Constant in Cointegration Equation.

  • Without Trend in Autoregression, with Constant in Cointegration Equation.

  • With Constant in Autoregression and in Cointegration Equation (Trend in Source Data).

• Autoregression Order. Specify autoregression order for the endogenous (output) and exogenous (input) variables. Enter numbers or ranges of autoregression order separated by commas. The range of autoregression order is specified using the "-" character.

TIP. For each exogenous variables you can set the group, determining cointegration relation type. Use the Factors tab on the results panel.

See also:

Working with Equations | Calculation Method forError Correction Model Calculation Method | Time Series Analysis: Error Correction Model | IModelling.Ecm