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Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy

Sergey Aivazian and Boris Brodsky ()
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Boris Brodsky: Central Economic-Mathematical Institute, Russia

Applied Econometrics, 2006, vol. 2, issue 2, 85-111

Abstract: This research deals with methodological problems of econometric modeling for the Russian economy of 1990–2000s with respect to modern trends in macroeconomic and econometric theory. The authors propose a two-stage procedure of modeling. At the first stage a disaggregated dynamical model is created aimed at theoretical description of the main sectors of the Russian economy: export-oriented, inner-oriented, gas, infrastructural monopolies, monetary, budget, household income and expenditure sectors. At the second stage an econometric model is proposed which includes the nonstationary cointegration type and the balance type relationships and identities. This system of equations is solved simultaneously and used for the analysis of short-term and medium-term shocks and projections.

Keywords: Russian economy; cointegration (search for similar items in EconPapers)
JEL-codes: C30 C54 E10 E27 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (10)

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