- Thread starter rppaksi
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There are many classical assumption tests. Which one are you referencing.

I don't know of any test associated with error correction models unless you mean cointegration. That is not a classical assumption of regression.

There are many classical assumption tests. Which one are you referencing.

I don't know of any test associated with error correction models unless you mean cointegration. That is not a classical assumption of regression.

ECM exists primarily to deal with non-stationarity which is not an issue raised by classical assumptions. Regression did not deal with time series, or did not consider its issues, when the classical assumptions were built. Time series commonly breaks a key assumption of regression, independence since there is autocorrelation in the error term. But ecm deals with a much more serious issue spurious regression. Again I don't think the classical models were built to deal with trends in data - they were largely cross sectional in nature.

I am learning ardl cointegration/ecm something that is pretty scary. Are you doing ECM in the context of VECM?

ECM exists primarily to deal with non-stationarity which is not an issue raised by classical assumptions. Regression did not deal with time series, or did not consider its issues, when the classical assumptions were built. Time series commonly breaks a key assumption of regression, independence since there is autocorrelation in the error term. But ecm deals with a much more serious issue spurious regression. Again I don't think the classical models were built to deal with trends in data - they were largely cross sectional in nature.

I am learning ardl cointegration/ecm something that is pretty scary. Are you doing ECM in the context of VECM?

Do you mind giving the source to that information?