Essays about: "Co-integration and Error Correction Models"

Found 5 essays containing the words Co-integration and Error Correction Models.

1. 1. Key Economic Sector Nexus and their Granger Causality with Electricity in Tanzania

   University essay from Göteborgs universitet/Graduate School

   Author : Emmanuel Ngereja; [2016-10-05]
   Keywords : multivariate; Augmented Dickey Fuller; Autoregressive Distributive Lag; Tanzania; Vector Error Correction Model; Vector Autoregressive; energy dependency;

   Abstract : This thesis uses annual data from 1970 - 2014 to investigate Granger causality between electricity production and key growth contributors in Tanzania. The multivariate analysis is done using Autoregressive Distributed Lag (ARDL) to check for co-integration; the Vector Error Correction (VEC) and Vector Autoregressive (VAR) models are employed for co-integrated and non-co-integrated variables respectively. READ MORE

3. 2. What is driving house prices in Stockholm?

   University essay from Stockholms universitet/Nationalekonomiska institutionen

   Author : Josefin Ångman; [2016]
   Keywords : House prices; Vector error correction; Error correction; co-integration; overvaluation; long run equilibrium;

   Abstract : An increased mortgage cap was introduced in 2010, and as of May 1st 2016 an amortization requirement was introduced in an attempt to slow down house price development in Sweden. Fluctuations in the house prices can significantly influence macroeconomic stability, and with house prices in Stockholm rising even more rapidly than Sweden as a whole makes the understanding of Stockholm’s dynamics very important, especially for policy implications. READ MORE

4. 3. Evaluating forecast accuracy for Error Correction constraints and Intercept Correction

   University essay from Statistiska institutionen

   Author : Richard Eidestedt; Stefan Ekberg; [2013]
   Keywords : Forecast Accuracy; Vector Error Correction; Vector Autoregressive; Co-integration; Intercept Correction and Diebold-Mariano test;

   Abstract : This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction (VEC) model that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction (IC), is considered for further comparison. READ MORE

5. 4. The Relationship between Inflation and Economic Growth of China: Empirical Study from 1978 to 2007

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Jing Xiao; [2009]
   Keywords : economic growth; China; inflation; Co-integration and Error Correction Models; Social and economic history; Ekonomisk och social historia; History and Archaeology;

   Abstract : This thesis is to research the relationship between inflation and economic growth of China from 1978 to 2007. No unambiguous conclusions on this problems have been obtained from previous literatures. READ MORE

6. 5. VARs and ECMs in forecasting – a comparative study of the accuracy in forecasting Swedish exports

   University essay from Nationalekonomiska institutionen

   Author : Arizo Karimi; [2008]
   Keywords : VAR-model; ECM-model; co-integration; forecast accuracy; export demand equation;

   Abstract : In this paper, the forecast performance of an unrestricted Vector Autoregressive (VAR) model was compared against the forecast accuracy of a Vector error correction (VECM) model when computing out-of-sample forecasts for Swedish exports. The co-integrating relation used to estimate the error correction specification was based upon an economic theory for international trade suggesting that a long run equilibrium relation among the variables included in an export demand equation should exist. READ MORE