Analysis of the Slovak economy using VAR models

@inproceedings{32036,
   author = {Krkošková, Radmila},
   address = {Jindřichův Hradec},
   booktitle = {36th International Conference on Mathematical Methods in Economics},
   keywords = {ADF test of stationarity; Cointegration relation; Granger causality; VAR model; VEC model},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Jindřichův Hradec},
   isbn = {978-80-7378-371-6},
   pages = {264-269},
   publisher = {MatfyzPress},
   title = {Analysis of the Slovak economy using VAR models},
   url = {https://mme2018.fm.vse.cz/},
   year = {2018}
}

TY  - JOUR
ID  - 32036
AU  - Krkošková, Radmila
PY  - 2018
TI  - Analysis of the Slovak economy using VAR models
PB  - MatfyzPress
CY  - Jindřichův Hradec
SN  - 9788073783716
KW  - ADF test of stationarity
KW  - Cointegration relation
KW  - Granger causality
KW  - VAR model
KW  - VEC model
UR  - https://mme2018.fm.vse.cz/
N2  - The paper aims to analyse and model chose macroeconomic variables of the Slovak economy and their dynamics using VAR models. This article shows the application of selected model on real-time series of chosen macroeconomic indica-tors using four variables (R - interest rate, M - money supply (M2), P - price level (CPI), Y - GDP). We identify and test four long-run relationships. There are de-scribed Granger causality, impulse response function, cointegration and error correc-tion models. The estimation outputs are interpreted. The quality econometric model for modelling macroeconomic time series in Slovak economy is discussed. The cal-culations used EViews software version 9. The structural model is estimated for the Slovak economy. The data used have the character of a quarterly time series in the period from Q1/2005 to Q4/2017. The data source was the National Bank of Slova-kia and the Eurostat database.
ER  - 

KRKOŠKOVÁ, Radmila. Analysis of the Slovak economy using VAR models. Online. In \textit{36th International Conference on Mathematical Methods in Economics}. Jindřichův Hradec: MatfyzPress, 2018, s.~264-269. ISBN~978-80-7378-371-6.