Can someone help me with refrence. As when we estimate error correction
model (ECM), e.g., we include a price difference lagged three times. We say
that the coefficients on the differenced terms provide estimates for
short-run elasticities. My question is that?
As for example i estimated an ECM for wheat yield with price difference
lagged four times and i found that the coefficients on first, second and
forth lag are insignificant and only the coefficient on the third lag is
significant. My worry is that is this value on the third lag is short-run
elasticity.
with regard
Khalid Mushtaq (Ph.D Student)
Dept.of Agricultural Economics & Food Marketting
University of Newcastle Upon Tyne
NE1 7RU
United Kingdom
0191 222 8887
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|