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@inproceedings{35991,
author = {Krkošková, Radmila},
address = {Hradec Králové},
booktitle = {35th International Conference, Mathematical Methods in Economics},
keywords = {ADF test of stationarity; correlation analysis; Granger causality; time series analysis; VECM model},
howpublished = {paměťový nosič},
language = {eng},
location = {Hradec Králové},
isbn = {978-80-7435-678-0},
pages = {732-737},
publisher = {University of Hradec Králové},
title = {Macroeconomic Modelling Using Cointegration Vector Autoregression},
year = {2017}
}
TY - JOUR
ID - 35991
AU - Krkošková, Radmila
PY - 2017
TI - Macroeconomic Modelling Using Cointegration Vector Autoregression
PB - University of Hradec Králové
CY - Hradec Králové
SN - 9788074356780
KW - ADF test of stationarity
KW - correlation analysis
KW - Granger causality
KW - time series analysis
KW - VECM model
N2 - 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.
ER -
KRKOŠKOVÁ, Radmila. Macroeconomic Modelling Using Cointegration Vector Autoregression. In \textit{35th International Conference, Mathematical Methods in Economics}. Hradec Králové: University of Hradec Králové, 2017, s.~732-737. ISBN~978-80-7435-678-0.
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