APPLICATION OF VAR AND VECM MODELS IN ANALYSING COINTEGRATION OF VARIABLES DESCRIBING CONSUMPTION'S BEHAVIOUR OF HOUSEHOLDS

• Authors: Doszyn M.
• Languages of publication: PL

Abstracts

EN

In the article problems connected with vector autoregressive models (VAR) and vector error correction models (VECM) were introduced. Johansen's procedure which is useful in identifying cointegration relations was presented. Special tests (trace test, maximal eigenvalue test) which enables determination of number of cointegation relations were described. In empirical example attempt to appoint cointegration relation between expenditures and disposable incomes of households of employees on non-manual labour positions with using VAR and VECM models was made. At first stage integration of variables was tested with using Dickey - Fuller test. Johansen's procedure was applied to assign number of cointegration relations. On the basis of VECM long term marginal propensity to consume of analyzed households was estimated.

Keywords

EN

COINTEGRATION RELATIONS; JOHANSEN'S PROCEDURE; VAR AND VECM MODEL'S APPLICATION

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2008
• Volume: 55
• Issue: 4
• Pages: 78-84
• Document type: ARTICLE

Contributors

author

Doszyn M.

• M. Doszyn, Uniwersytet Szczecinski, Katedra Ekonometrii i Statystyki, ul. Mickiewicza 64, 71-101 Szczecin, Poland

Identifiers

CEJSH db identifier

09PLAAAA055119