Error correction model
id:
error-correction-model-319-4064468
title:
Error correction model
text:
An error correction model (ECM) belongs to a category of multiple time series models most commonly used for data where the underlying variables have a long-run common stochastic trend, also known as cointegration. ECMs are a theoretically-driven approach useful for estimating both short-term and long-term effects of one time series on another. The term error-correction relates to the fact that last-period's deviation from a long-run equilibrium, the error, influences its short-run dynamics. Thus
brand slug:
wiki
category slug:
encyclopedia
description:
Type of time series model
original url:
https://en.wikipedia.org/wiki/Error_correction_model
date created:
date modified:
2023-09-10T08:41:00Z
main entity:
{"identifier":"Q1401229","url":"https://www.wikidata.org/entity/Q1401229"}
image:
fields total:
13
integrity:
14