Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia

Sergey Aivazian, Boris Brodsky (), Edward Sandoyan (), Mariam Voskanyan () and David Manukyan ()
Additional contact information
Boris Brodsky: CEMI RAS, Moscow, Russia
Edward Sandoyan: Russian-Armenian (Slavonic) university. Erevan, Armenia
Mariam Voskanyan: Russian-Armenian (Slavonic) university. Erevan, Armenia
David Manukyan: Russian-Armenian (Slavonic) university. Erevan, Armenia

Applied Econometrics, 2013, vol. 31, issue 3, 7-31

Abstract: This study is aimed at creation of the macroeconometric models of the key macro-indices of the national economics of Russia and Armenia: GDP, inflation, export and import, the average wage, etc. The choice of predictors of these models is made according to findings from theoretical models developed in the first part of this paper. Methodology of econometric research for non-stationary time series (the majority of macroindicators of these models) is based upon the two-stage procedure of cointegration analysis proposed by Engle and Granger (1987). At the first stage we build long-run cointegration equations aimed at description of stable and long-lasting macrofactors of macroeconomic policy and external trade which influence the dynamics of key macroeconomic indices. At the second stage we build error correction models for taking into account short run factors (seasonality, etc.) influencing these dynamics.

Keywords: national economy; econometrics; system of simultaneous equations; GDP; investment; CPI; inflation; export; import; real wage; time series; co-integration. (search for similar items in EconPapers)
JEL-codes: C13 C30 C32 E13 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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