| Title |
Įvairių kointegravimo analizės metodų taikymo Lietuvos makroekonomikos modeliavime rezultatų palyginimas / |
| Another Title |
The comparison of cointegration methods applications of Lithuanian's economy modeling results. |
| Authors |
Firkovič, Viktorija ; Rudzkis, Rimantas |
| DOI |
10.15388/LMR.2003.32501 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. 2003, T. 43, spec, Nr, p. 468-474.. ISSN 0132-2818 |
| Abstract [eng] |
Actual goal in the modeling of the Lithuania's transition economy is to compare some different analysis methods 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). |
| Type |
Conference paper |
| Language |
Lithuanian |
| Publication date |
2003 |
| CC license |
|
