Engle & Granger cointegration test for GDP and public consumption in the Republic of North Macedonia

Artikel

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides same conclusions. We did not find the presence of spurious regression. ADF Unit Root Test on residuals confirms that residuals are not stationary and that series are not cointegrated. Engle-Granger cointegration test and Phillips Ouliaris cointegration test results confirms that GDP and Public consumption of the Republic of North Macedonia are not cointegrated and can be used for further analyze using VAR(p) model...

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: UTMS Journal of Economics ; ISSN: 1857-6982 ; Volume: 13 ; Year: 2022 ; Issue: 2 ; Pages: 221-235

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
• Thema: cointegration ; VAR ; stationarity ; public consumption ; probability

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ivanovski, Zoran ; Ivanovska, Nadica ; Korunovska, Vesna
• Ereignis: Veröffentlichung
• (wer): University of Tourism and Management
• (wo): Skopje
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/281922
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ