Seasonal Vector Error Correction Modeling Of Gross Domestic Product And Money Supply
ABSTRACT
This study compared the performance
of a vector error correction model with the seasonal vector error correction
model when there is presence of seasonal unit root and seasonal co-integrations
in the series. Quarterly data on GDP and Money supply from the year 1986 to
2016 were collected for the purpose of this research. The series after being
subjected to Augmented Dickey-Fuller test for unit root, Canova-Hansen test and
HEGY test for seasonal unit root as well as Engel-Granger test and Johansen
test for non-seasonal co-integration and EGHL test for seasonal co-integration.
The results were identified to have the presence of non-seasonal unit root,
seasonal unit at zero frequency and biannual cycle, co-integration and seasonal
co-integration. Finally, both models were fitted and their results were
compared to determine the best model. The findings of this study showed that
seasonal vector error correction model appeared to be better than the vector
error correction model.
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NSIONU, O (2021). Seasonal Vector Error Correction Modeling Of Gross Domestic Product And Money Supply. Repository.mouau.edu.ng: Retrieved May 16, 2024, from https://repository.mouau.edu.ng/work/view/seasonal-vector-error-correction-modeling-of-gross-domestic-product-and-money-supply-7-2
OLISA, NSIONU. "Seasonal Vector Error Correction Modeling Of Gross Domestic Product And Money Supply" Repository.mouau.edu.ng. Repository.mouau.edu.ng, 14 Jul. 2021, https://repository.mouau.edu.ng/work/view/seasonal-vector-error-correction-modeling-of-gross-domestic-product-and-money-supply-7-2. Accessed 16 May. 2024.
OLISA, NSIONU. "Seasonal Vector Error Correction Modeling Of Gross Domestic Product And Money Supply". Repository.mouau.edu.ng, Repository.mouau.edu.ng, 14 Jul. 2021. Web. 16 May. 2024. < https://repository.mouau.edu.ng/work/view/seasonal-vector-error-correction-modeling-of-gross-domestic-product-and-money-supply-7-2 >.
OLISA, NSIONU. "Seasonal Vector Error Correction Modeling Of Gross Domestic Product And Money Supply" Repository.mouau.edu.ng (2021). Accessed 16 May. 2024. https://repository.mouau.edu.ng/work/view/seasonal-vector-error-correction-modeling-of-gross-domestic-product-and-money-supply-7-2