APPLICABLE ASPECTS OF ECONOMETRIC MODELING OF DYNAMIC RELATIONS

Authors

Keywords
dynamic relationship, cointegration, vector autoregression, crosscorrelation, distributed lags.

Summary
The paper is focused on the application of the statistical methods for the analysis of dynamic relationships. The relationships among the economic phenomena are realized not only in the distributions of the population, (static aspect) but also in the changes that have occurred into it with the time (dynamic aspect).

The thesis supported by the authors is that statistical methods used for the analysis of dynamic relationships are both modern and powerful instruments for the researchers that allow to discover new characteristics of the interdependence among economic phenomenon but at the same time, their application is accompanied with many conditions that have to be known and taken into account.

The goal of the paper is to systematize the statistical methods for analysis of relationships based on time series data, and to point out their abilities in the advancement and enhancement of the analysis of the economic phenomenon. In order to achieve this goal, we have solved the following tasks: a) to describe the cross-correlation analysis; b) to characterize the distributed lag models (aka transfer function models); c) to study the vector auto regression (VAR) models; d) to describe the cointegration as advanced statistical method for the analysis of non-stationary time series.

The established results cover the advanced features of the dynamic relationship models: the interdependence between two (or more) time series; exploration of single relationships and distributed influence; the representation of multidimensional dynamic relationship; the survey of both long-term equilibrium relation and short-term interaction between the variables induced by the deviations from equilibrium state.

JEL: C22, C32.
Pages: 43
Price: 3 Points

More titles

  • RELATIONS BETWEEN GOVERNMENT DEBT AND INVESTMENT ACTIVITY, A PARALLEL ANALYSIS OF THE PROCESSES IN BULGARIA AND GREECE

    The present study aims at a parallel analysis of investment, and in particular stock exchange activity and government debt, as well as finding a dependency between the dynamics of these processes and highlighting those stock indicators, for which the relationship with the debt dynamics is of greater significance. The study is based on the thesis ...

  • DEVELOPMENT OF COMMERCIAL BANKS BRANCH NETWORK ‒ A CRITICAL EVALUATION OF THEORY AND PRACTICE

    This study focuses on commercial banking and the development of branch networks as an essential part of the banking system. At the centre of the analysis is the relationship between the expansion of the branch networks of commercial banks and the influence of the following four factors: the dynamics of the economic development cycle at global, ...

  • PAYMENTS FOR PROPHYLAXIS AND REHABILITATION AS A FORM OF RISK PREVENTION IN THE PUBLIC SOCIAL SECURITY SYSTEM OF BULGARIA

    An attempt has been made to substantiate the thesis that the organisational development and improvement of prophylaxis and rehabilitation payments have significant capacity to promote prevention and overcome the consequences of risk as a form of proactive approach to the public social security management. The study of the opportunities for ...