Browsing by Subject "Vector auto-regression"

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    Estimation of velocity function for Turkey using Engle-Granger two-step method
    (1990) Yülek, Murat Ali
    This study aims at estimating the velocity function, for Turkey using quarterly data. Estimation is done using cointegration and error correction methods. This enabled incorporating short-term disequilibria moments in long run equilibrium. The analysis starts with examination of level of integration of series in question. Then a number of cointegrating regressions are run. Cointegrated series are employed in different "lag-rich" error correction formulations. Finally using a general to specific approach, parsimonious models are reached dropping insignificant regressors.