Electric power generation and GDP in Russia: Cointegration analysis

Roman Arkhipov () and Pavel Katyshev ()
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Roman Arkhipov: National Research University Higher School of Economics, Moscow, Russian Federation;
Pavel Katyshev: National Research University Higher School of Economics, Moscow, Russian Federation

Applied Econometrics, 2016, vol. 44, 38-49

Abstract: We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The existence of cointegration is established and the moment of the structural change is estimated.

Keywords: time series; unit root; cointegration; structural change (search for similar items in EconPapers)
JEL-codes: C20 C22 E01 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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