Estimation of velocity function for Turkey using Engle-Granger two-step method

Date
1990
Advisor
Togan, Subidey
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Bilkent University
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Language
English
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Thesis
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Abstract

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.

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Cointegration, Level of integration, Stationarity, Error correction model, Reparameterisation, Adaptive Expectations, Auto-regressive distributed lag model, Vector auto-regression
Citation
Published Version (Please cite this version)