The comparison of cointegration methods applications of Lithuanian’s economy modeling results
Actual goal in the modeling of the Lithuania’s transition economy is to compare some different analysismethods of cointegrated time series: Johansen’s, Box–Tiao, Stock–Watson, Engle–Granger two step procedure and principal components analysis. We investigate mathematical models of the long-run rela...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2003-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32501 |
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| _version_ | 1832593160374583296 |
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| author | Viktorija Firkovič Rimantas Rudzkis |
| author_facet | Viktorija Firkovič Rimantas Rudzkis |
| author_sort | Viktorija Firkovič |
| collection | DOAJ |
| description |
Actual goal in the modeling of the Lithuania’s transition economy is to compare some different analysismethods of cointegrated time series: Johansen’s, Box–Tiao, Stock–Watson, Engle–Granger two step procedure and principal components analysis. We investigate mathematical models of the long-run relations and changes of macroeconomic indicators, which we statistically identify using different statistical estimator of cointegrated vectors (CI) and vector error correction model (VECM).
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| format | Article |
| id | doaj-art-c6629a02a3534aeeb2f1e729b6b0b391 |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2003-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-c6629a02a3534aeeb2f1e729b6b0b3912025-01-20T18:17:34ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2003-12-0143spec.10.15388/LMR.2003.32501The comparison of cointegration methods applications of Lithuanian’s economy modeling resultsViktorija Firkovič0Rimantas Rudzkis1Institute of Mathematics and InformaticsInstitute of Mathematics and Informatics Actual goal in the modeling of the Lithuania’s transition economy is to compare some different analysismethods of cointegrated time series: Johansen’s, Box–Tiao, Stock–Watson, Engle–Granger two step procedure and principal components analysis. We investigate mathematical models of the long-run relations and changes of macroeconomic indicators, which we statistically identify using different statistical estimator of cointegrated vectors (CI) and vector error correction model (VECM). https://www.journals.vu.lt/LMR/article/view/32501 |
| spellingShingle | Viktorija Firkovič Rimantas Rudzkis The comparison of cointegration methods applications of Lithuanian’s economy modeling results Lietuvos Matematikos Rinkinys |
| title | The comparison of cointegration methods applications of Lithuanian’s economy modeling results |
| title_full | The comparison of cointegration methods applications of Lithuanian’s economy modeling results |
| title_fullStr | The comparison of cointegration methods applications of Lithuanian’s economy modeling results |
| title_full_unstemmed | The comparison of cointegration methods applications of Lithuanian’s economy modeling results |
| title_short | The comparison of cointegration methods applications of Lithuanian’s economy modeling results |
| title_sort | comparison of cointegration methods applications of lithuanian s economy modeling results |
| url | https://www.journals.vu.lt/LMR/article/view/32501 |
| work_keys_str_mv | AT viktorijafirkovic thecomparisonofcointegrationmethodsapplicationsoflithuanianseconomymodelingresults AT rimantasrudzkis thecomparisonofcointegrationmethodsapplicationsoflithuanianseconomymodelingresults AT viktorijafirkovic comparisonofcointegrationmethodsapplicationsoflithuanianseconomymodelingresults AT rimantasrudzkis comparisonofcointegrationmethodsapplicationsoflithuanianseconomymodelingresults |