THE AUGMENTED DICKEY-FULLER TEST FOR THE STATIONARITY OF THE FINAL PUBLIC CONSUMPTION AND GDP TIME SERIES OF THE REPUBLIC OF NORTH MACEDONIA

Zoran Ivanovski and Nadica Ivanovska
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Zoran Ivanovski: University of Skopje
Nadica Ivanovska: Central Cooperative Bank, Macedonia

UTMS Journal of Economics, 2024, vol. 15, issue 2, 109-124

Abstract: In this paper, we present the results of an econometric analysis for the stationarity of the analyzed long-time series of GDP and final public consumption, carried out by Augmented Dickey-Fuller Test in order to apply vector auto-regression model VAR(p). We use quarterly data on the movement of GDP and Public consumption of the Republic of North Macedonia for the time interval 2000Q1 – 2019Q4. The analysis was performed by using Eviews statistical analysis software was used for data processing, in which the VAR model is developed. In fact, this is starting procedure for the use of vector auto-regression. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series and for forecasting. It often provides superior forecasts to those from univariate time series models and elaborate theory-based simultaneous equations models. The regression from the unit root test with the ADF test that used 3 lags proved that the DLNGDP series is stationary after 3 lags.

Keywords: VAR (p); Akaike criterion; Durbin-Watson statistics; unit root; stationarity (search for similar items in EconPapers)
JEL-codes: C32 C35 (search for similar items in EconPapers)
Date: 2024
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