Comparing the core model of the Czech macroeconomy with benchmark univariate models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86078951" target="_blank" >RIV/61989100:27510/11:86078951 - 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
Comparing the core model of the Czech macroeconomy with benchmark univariate models
Original language description
The purpose of this paper is to compare the modelling strategy including a structural cointegrating VAR model with the in-sample fit of the individual equations in the core long-run structural model for the Czech macroeconomy using data over the period 1999Q1 ? 2010Q4. We compare ECM specifications with a set of bench-mark univariate time series representations using ARMA(p,q) specifications applied to the first differences of each of the nine core endogenous variables. The basic macroeconomic frameworkis a core small open economy model consist-ing of five long-run relationships. The first requirement in the construction of the benchmark model is the selection of an a priori maximum lag order for the autore-gressive and moving average processes. We compare the results for estimation and selection of univariate ARMA models using the AIC, SBC and adjusted R2 statistics for each of the nine endogenous variables. We evaluate the estimated CVAR model and the preferred benchmark ARMA model.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
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
Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
212-217
Publisher name
Professional Publishing
Place of publication
Prague
Event location
Janska Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600035