Macroeconomic Modelling Using Cointegration Vector Autoregression

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Macroeconomic Modelling Using Cointegration Vector Autoregression

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Macroeconomic Modelling Using Cointegration Vector Autoregression

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

35th International Conference, Mathematical Methods in Economics

ISBN

978-80-7435-678-0

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

732-737

Název nakladatele

University of Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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