Mean lag in general error correction models

Most of the empirical literature inappropriately applies Hendry's (1995) mean lag formula-which he derived for first order autoregressive distributed lag models under the assumption of a homogeneous long-run equilibrium-to error correction models that have complex lag structures and lack long-run homogeneity. We derive an expression for the mean lag in general error correction models without imposing the assumption of a homogeneous equilibrium. In addition, we quantify the bias due to the incorrect use of Hendry's (1995) formula.