ERROR CORRECTION MODEL AND ITS SWITCHING TREND – SIMULATION AND INTERPRETATION
Abstract
The theoretical part of the article defines the function of the switching trend associated with the unambiguously dynamic error correction model (ECM). The switches in the defined trend are exogenous variables of the dynamic model. Conducting considerations regarding both forms of the cause-and-effect autoregressive model include:
— short and long-term multiplier effects of impact of exogenous variables on the endogenous variable were defined,
— graphical graphs of the switching trend with its boundary levels are presented,
— simulated the behavior of endogenous variable for assumed changes of exogenous variables, the equivalence of the considered error correction model with its switching trend in deterministic and stochastic conditions was checked.
Keywords:
insolvency, restructuring, financial reportingDetails
- Issue
- Vol. 4 No. 27 (2018)
- Section
- Research article
- Published
- 2018-12-29
- DOI:
- https://doi.org/10.19253/reme.2018.04.002
- Licencja:
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