A VEC Model of the Czech and Slovak Economies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10224891" target="_blank" >RIV/61989100:27510/10:10224891 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
A VEC Model of the Czech and Slovak Economies
Original language description
This paper applies the modelling strategy developed in Garratt, Lee, Pesaran and Shin (2006) to estimate a long-run structure macroeconometric model. The new strategy provides a practical approach to incorporating long-run structural relationships from economic theory in a structural cointegrating VAR (CVAR) model. The structure of a CVAR model of the macroeconomy accommodates a description of production technology and output determination, arbitrage conditions, long-run solvency requirements and accounting identities and stock-flow relations. We apply this modelling strategy to the Czech and Slovak economies. The data are quarterly and run from the first quarter 1995 to the third quarter of 2009. We are able to identify the long-run structure amongstthose variables and to test over-identifying restrictions on the cointegrating vectors. We also investigate the long-run properties of the model and estimate its short-run dynamics.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1015" target="_blank" >GA402/08/1015: Macroeconomic Models of the Cyech Economy and Economies of the other EU Countries</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
28th Internacional Conference on Mathematical Methods in Economics 2010
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
University of South Bohemia
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000287979900036

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