PL EN


2008 | 55 | 4 | 78-84
Article title

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

Authors
Title variants
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.
Year
Volume
55
Issue
4
Pages
78-84
Physical description
Document type
ARTICLE
Contributors
author
  • M. Doszyn, Uniwersytet Szczecinski, Katedra Ekonometrii i Statystyki, ul. Mickiewicza 64, 71-101 Szczecin, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA055119
YADDA identifier
bwmeta1.element.4192ab5b-31ce-326b-9d03-d704314c7656
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