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Acronymfinder

What does VECM stand for?

VECM stands for Vector Error Correction Model (stock futures)


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We have 3 other definitions for VECM in our Acronym Attic

Samples in periodicals archive:

Accordingly, we use vector error correction models (VECMs) to jointly estimate the long-run relationship in a cointegrating vector and short-run effects in first-difference equations, respectively: [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] where the lags of first-difference endogenous variables minimize the Akaike information criterion (AIC), X is a vector of exogenous factors, [[epsilon].
Granger's (1991) Representation Theorem further implies that we should specify a Vector Error Correction Model, VECM, (instead of a VAR) in which causality is detected among the variables in at least one direction.
VECTOR ERROR CORRECTION MODEL AND GRANGER CAUSALITY TEST The number of cointegrating relationships found in Table 3 will result in a corresponding number of residual series, and hence error correction terms (ECTs), to be used in the subsequent vector error correction model (VECM), results based on which appear in Table 4.