Interpreting an error correction model: Partial adjustment, forward‐looking behaviour, and dynamic international money demand
从随机动态规划问题推导出误差修正模型，并检验了最优策略是否无法渐进消除变量与目标之间的差距，通过跨国现金余额数据发现模型中的反直觉行为未得到支持。
Abstract An error correction model is derived from a stochastic dynamic programming problem incorporating rational expectations. A parametric restriction is derived that allows a test for the theoretical proposition that the optimal strategy behind the error correction from entails the failure to asymptotically close the gap between the choice variable and the growing target. This is accomplished by nesting a partial adjustment model with forward‐looking expectations within the error correction paradigm. The counterintuitive behaviour embodied in the error correction model is not supported by the data in the context of a cross‐country comparison of cash balances relationships.