Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models

► A modification of the error correction model (ECM) is proposed. ► Not only the deviation from steady-state of the most recent period is considered. ► Deviations of the past are cumulated by geometrically decreasing weights. ► The model nests the traditional ECM as well as the multi-cointegration approach. ► As an empirical application the short-run dynamics of US consumption are modelled.