Cointegration,error correction representation and the import demand function with implications in International Finance and Accounting Research |
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| Authors: | Professor of Statistics Augustine C. Arize Ph.D. Associate Professor of Accounting Gordian Ndubizu Ph.D. |
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| Affiliation: | (1) Department of General Business, College of Business and Technology, East Texas State University, ET Station, 75429 Commerce, TX;(2) Department of Accounting, College of Business Administration, Drexel University, 19104 Philadelphia, PA |
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| Abstract: | This paper uses the relatively new procedures of cointegration and error-correction modeling to examine the import demand function of three developing economies. The empirical results suggest that the error-correction model performs well and that the poor results of previous studies are attributable to the inappropriate use of the Cochrane-Orcutt procedure and the complete absence of diagnostic testing, especially with respect to parameters stability, autocorrelation, and variable omission. |
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| Keywords: | Cointegration ECM dynamic modelling order of integration |
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