Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Journal of Applied Econometrics 19 (2004) 1, pp. 69-88
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long-run...