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  • This paper applies the modelling strategy developed in Garratt, Lee, Pesaran and Shin (2006) to estimate a long-run structure macroeconometric model. The new strategy provides a practical approach to incorporating long-run structural relationships from economic theory in a structural cointegrating VAR (CVAR) model. The structure of a CVAR model of the macroeconomy accommodates a description of production technology and output determination, arbitrage conditions, long-run solvency requirements and accounting identities and stock-flow relations. We apply this modelling strategy to the Czech and Slovak economies. The data are quarterly and run from the first quarter 1995 to the third quarter of 2009. We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors. We also investigate the long-run properties of the model and estimate its short-run dynamics.
  • This paper applies the modelling strategy developed in Garratt, Lee, Pesaran and Shin (2006) to estimate a long-run structure macroeconometric model. The new strategy provides a practical approach to incorporating long-run structural relationships from economic theory in a structural cointegrating VAR (CVAR) model. The structure of a CVAR model of the macroeconomy accommodates a description of production technology and output determination, arbitrage conditions, long-run solvency requirements and accounting identities and stock-flow relations. We apply this modelling strategy to the Czech and Slovak economies. The data are quarterly and run from the first quarter 1995 to the third quarter of 2009. We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors. We also investigate the long-run properties of the model and estimate its short-run dynamics. (en)
Title
  • A VEC Model of the Czech and Slovak Economies
  • A VEC Model of the Czech and Slovak Economies (en)
skos:prefLabel
  • A VEC Model of the Czech and Slovak Economies
  • A VEC Model of the Czech and Slovak Economies (en)
skos:notation
  • RIV/61989100:27510/10:10224891!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/08/1015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 245060
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/10:10224891
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Fisher inflation parity; money market; output relationship; interest rate parity; purchasing power parity; Czech and Slovak economies; macroeconometrics; VECM; long-run structural model (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [FDD305880712]
http://linked.open...v/mistoKonaniAkce
  • České Budějovice
http://linked.open...i/riv/mistoVydani
  • České Budějovice
http://linked.open...i/riv/nazevZdroje
  • 28th Internacional Conference on Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Hančlová, Jana
  • Lukáčik, Martin
  • Szomolányi, Karol
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000287979900036
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • University of South Bohemia
https://schema.org/isbn
  • 978-80-7394-218-2
http://localhost/t...ganizacniJednotka
  • 27510
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