Economics at your fingertips  

Modeling National Accounts Sub-Aggregates. An Application of Non-Linear Error Correction

Adusei Jumah () and Robert Kunst ()

No 149, Economics Series from Institute for Advanced Studies

Abstract: Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many demand sub-aggregates in output are rather mobile and changing over time. In order to simultaneously capture the flexibility of the shares of the sub-aggregates and the long-run constancy of the share of the total aggregate, we consider trivariate systems of two macroeconomic sub-aggregates and output with errorcorrection terms that are non-linear functions of the original variables. The merits of the models are evaluated by means of several forecasting experiments.

Keywords: Macroeconomic accounts; Great ratios; Non-linear error correction; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 C53 E27 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2004-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) First version, 2004 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().

Page updated 2023-05-28
Handle: RePEc:ihs:ihsesp:149