Results found: 1

Search results

Search:
in the keywords: JOHANSEN'S PROCEDURE

Sort By:

Limit search:

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

100%

Doszyn M.

Przegląd Statystyczny

2008

vol. 55

issue 4

78-84

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.

Refine search results

1 Przegląd Statystyczny

1 Doszyn M.

1 2008

Search results

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