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Econometric models are statistical models used in econometric. This modelling tool help economist develop future economy plan for the company. This lecture note discuss important points for understanding Econometric modelling, it includes Sample, Problem, Cointegration, Test, Money, Capitalization, Index, Periods, Solutions
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Trace Test Maximum Eigenvalue Test ============================= ============================ Null Alternative λ- Tra CV Null Alternative λ- Max CV ======================================================================================= r = 0 r ≥ 0 32.72* 29.79 r = 0 r = 1 32.72* 21. r 1 r ≥ 1 6.678 15.49 r 1 r = 2 6.678 14. r 2 r > 2 1.446 3.841 r 20 r = 3 1.446 3. ======================================================================================= Note: r stands for the number of cointegrating vectors. The lag structure of VAR is determined by the highest values of the Akaike information criterion and Schwarz information criterion. The critical values are taken from Johansen and Juselius (1990). *: Indicates Statistical Significance at 5%. And other notations are defined earlier.
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Mukherjee, Chandan, Howard White, and Marc Wuyts: Econometrics and Data Analysis for Developing Countries, Routledge, New York, 1998. Patterson, Kerry: An Introduction to Applied Econometrics: A Time Series Approach, St. Martin’s Press, New York, 2000. Rao, C. R.: Linear Statistical Inference and Its Applications, 2d ed., John Wiley & Sons, New York, 1975. Rao, Potluri, and Roger LeRoy Miller: Applied Econometrics, Wadsworth, Belmont, Calif., 1971. Walters, A. A.: An Introduction to Econometrics, Macmillan, London, 1968. Zellner, A.: An Introduction to Bayesian Inference in Econometrics, John Wiley & Sons, New York, 1971.
a) Random walk b) Spurious regression c) Cointegration d) trend stationary
