Cointegration and long-run structural modelling of the Czech economy
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86078949" target="_blank" >RIV/61989100:27510/11:86078949 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Cointegration and long-run structural modelling of the Czech economy
Original language description
The purpose of this paper is to modify and empirically verify the modelling strategy developed by Garratt, Lee, Pesaran and Shin (2006). The strategy provides a practical approach to incorporating theoretic long-run relationships of a small open economythrough a structural vector error correction model (VECM). The structure of a macroeconometric model accommodates a description of production technology and output determination, arbitrage conditions, long-run solvency requirements and accounting identities and stock-flow relations. This leads to five expected long-run equations. We apply this modelling strategy to the Czech economy. The data are quarterly (1999-2010). We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Recent Research in Applied Economics (Proceedings of the 3rd World Multiconference on Applied Economics, Business and Development (AEBD'11))
ISBN
978-1-61804-009-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
110-115
Publisher name
WSEAS Press
Place of publication
Cambridge
Event location
Iasi
Event date
Jul 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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