Macroeconomic Modelling Using Cointegration Vector Autoregression

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F17%3A00010974" target="_blank" >RIV/47813059:19520/17:00010974 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Macroeconomic Modelling Using Cointegration Vector Autoregression
Original language description
The article deals with modern econometric methods that will be used in long-term structural macro econometric modeling of the Czech economy. The structural model is estimated for the Czech economy to quarterly data 2005Q1 -2016Q4. On the basis of the economic theory is to derive long-term relationships for a small open economy with 9 endogenousvariables (6 domestic and 3 international) and 1 exogenous variable. The data source was the Eurostat database, FRED, Czech National Bank and the Czech Statistical Office.This article aims to find cointegration equations for modeling the long-term equilibrium of economic relations in the Czech Republic in the analyzed period. Based on the number of determined cointegration relationships is tested weak exogenous and there are tested hypotheses considering by restrictions on the coefficients so that the estimated cointegration relations in accordance with the economic and statistical theories. Achieved empirical results are influenced by the fact that the Czech economy has undergone in the period currency crisis. The calculations used EViews software version 9.
Czech name
—
Czech description
—

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
35th International Conference, Mathematical Methods in Economics
ISBN
978-80-7435-678-0
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
732-737
Publisher name
University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)