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Error correction modeler . co-integration and the internal model principle

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  • Salmon, Mark

Abstract

The paper considers the conditions under which a system of dynamic equations will be corisisterrt with some prespecified inultivariate equilibrium specification. Connections are also drawn between recer► t develuprnents in the analysis of multivariate error correction models and the theory of co-integration and what is kr► uwn as —rhe Internal Model Principle" in the design of robust linear feedback rules . Apart from clarifying and generalising our understanding of error currectiun systems and co-- integration this approach suggests a relatively simple method for identifying the restrictions that detern-iir,e whether a given dynamic system satisfies the conditions for being an error correction specification.

Suggested Citation

  • Salmon, Mark, 1986. "Error correction modeler . co-integration and the internal model principle," Economic Research Papers 268250, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268250
    DOI: 10.22004/ag.econ.268250
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    Cited by:

    1. Françoise Maurel, 1989. "Modèles à correction d'erreur : l'apport de la théorie de la co-intégration," Économie et Prévision, Programme National Persée, vol. 88(2), pages 105-125.

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