APPLICABLE ASPECTS OF ECONOMETRIC MODELING OF DYNAMIC RELATIONS Cover Image

ПРИЛОЖНИ АСПЕКТИ НА ИКОНОМЕТРИЧНОТО МОДЕЛИРАНЕ НА ДИНАМИЧНИ ЗАВИСИМОСТИ
APPLICABLE ASPECTS OF ECONOMETRIC MODELING OF DYNAMIC RELATIONS

Author(s): Lubomir Ivanov, Evgeni Ovchinnikov
Subject(s): Economy, Business Economy / Management
Published by: Стопанска академия »Д. А. Ценов«
Keywords: dynamic relationship; cointegration; vector autoregression; crosscorrelation; distributed lags

Summary/Abstract: 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.

  • Issue Year: 26/2018
  • Issue No: 1
  • Page Range: 183-225
  • Page Count: 43
  • Language: Bulgarian