Econometric Modeling of GDP Time Series

Elena-Adriana Andrei and Elena Bugudui
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Elena-Adriana Andrei: Bucharest Academy of Economic Studies
Elena Bugudui: “Artifex” University of Bucharest

Theoretical and Applied Economics, 2011, vol. XVIII(2011), issue 10(563), 91-98

Abstract: Article aims of time series econometric model of macroeconomic variable GDP in the US economy. Because that is a nonstationary time series, there are used several statistical tests in order to turn into a stationary series. After applying these tests, the time series became stationary and integrated of order I; thus, we use Box-Jenkins procedure for the determination of ARMA. We estimate by OLS the parameters of various models. Performances chosen ARIMA model (1,1,1) are verified on the basis of classical statistical tests and forecasting.

Keywords: stationary time series; nonstationary time series; statistical tests. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:10(563):y:2011:i:10(563):p:91-98

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