Detailed Information on Publication Record
2017
Macroeconomic Modelling Using Cointegration Vector Autoregression
KRKOŠKOVÁ, RadmilaBasic information
Original name
Macroeconomic Modelling Using Cointegration Vector Autoregression
Authors
KRKOŠKOVÁ, Radmila (203 Czech Republic, guarantor, belonging to the institution)
Edition
Hradec Králové, 35th International Conference, Mathematical Methods in Economics, p. 732-737, 6 pp. 2017
Publisher
University of Hradec Králové
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
10103 Statistics and probability
Confidentiality degree
není předmětem státního či obchodního tajemství
Publication form
storage medium (CD, DVD, flash disk)
RIV identification code
RIV/47813059:19520/17:00010974
Organization unit
School of Business Administration in Karvina
ISBN
978-80-7435-678-0
Keywords in English
ADF test of stationarity; correlation analysis; Granger causality; time series analysis; VECM model
Změněno: 7/2/2020 10:58, RNDr. Daniel Jakubík
Abstract
V originále
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.