scholarly journals Estimation of peach supply response in Colombia using a Vector Error Correction Model

ENTRAMADO ◽  
2021 ◽  
Vol 17 (1) ◽  
pp. 250-260
Author(s):  
Susan Elsa  Cancino ◽  
Giovanni Orlando Cancino-Escalante
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Correction Coefficient ◽  
Vector Error Correction ◽  
Supply Response ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller

An empirical study of peach supply response to own-price and yield in Colombia using time series data from 2000 to 2018 was undertaken. A quantitative, correlational and non-experimental research design was selected and the Johansen´s co-integration as well as the vector error correction framework were employed. The Augmented Dickey-Fuller test showed that the time series were integrated of order one and the Johansen´s co-integration confirmed the existence of a long-term relationship between the variables. Moreover, the short and long run coefficients for own-price and yield were statistically significant and presented the expected signs, however, estimated own-price elasticity was below unit suggesting it is not an important factor in peach supply response. Furthermore, the vector error correction coefficient (-0.32) was negative and in line with theory, which showed that in the long-run, the model converges towards equilibrium, however at a relatively slow pace. Therefore, it can be concluded that, overall, the proposed model contributes to the understanding of the dynamics in peach output supply.

scholarly journals Budget Deficits and Economic Growth: A Vector Error Correction Modelling of South Africa

2017 ◽  
Vol 9 (2(J)) ◽  
pp. 215-223
Author(s):  
Kagiso Molefe ◽  
Andrew Maredza
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Error Correction ◽  
Budget Deficit ◽  
Time Series Data ◽  
Series Data ◽  
Budget Deficits ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

The primary motivation behind this study was to explore the consequential effects of budget deficit on South Africa`s economic growth. Six variables were used, namely: real GDP, budget deficit, real interest rate, labour, gross fixed capital formation and unemployment. The Vector Error Correction Model (VECM) was used to estimate the long-run equation and also measure the correction from disequilibrium of preceding periods. Using annual time series data spanning the period 1985 to 2015, empirical evidence from the study revealed that budget deficits and economic growth are inversely related. It was therefore concluded that high levels of budget deficit in South Africa have detrimental effects on the growth of the economy. The estimate of the speed of adjustment coefficient found in this study revealed that about 29 per cent of the variation in GDP from its equilibrium level is corrected within one year. The results obtained in this study are favourably similar to those in the literature and are also sustained by previous studies.

scholarly journals Supply Response of Milk Producers to Economic and Non-Economic Factors in Swaziland

2017 ◽  
Vol 5 (4) ◽  
pp. 14
Author(s):  
Micah Bheki Masuku ◽  
Mlungisi C. Sukati ◽  
Jeremiah I Rugambisa
Keyword(s):  
Time Series Data ◽  
Milk Powder ◽  
Series Data ◽  
Economic Factors ◽  
Vector Error Correction ◽  
Supply Response ◽  
Vector Error ◽  
Long Run ◽  
Milk Output ◽  
Short Run

Supply response indicates the output change due to the change in price and non-price factors. The main aim of this study was to analyse the supply response of milk producers to various economic and non-economic factors. The specific objectives were to determine the responsiveness of milk supply in Swaziland to price and its substitute price (milk powder) and to examine the responsiveness of milk producers to non-economic factors such as rainfall, technology and dairy cattle inventory. The study used time series data from 2010 to 2014 and each year was given in months in-order to have 60 data points. Several techniques relevant for analysing time series data were employed, which included testing for stationarity of the data, checking if the independent variables if are able to explain the dependent variable (cointegration), running the long-run regression, then dropping some of the residuals which were not significant, after which the Vector Error-Correction Model and the diagnostic tests were conducted. Such analysis included the formal test for stationarity. The Johansen cointegration test was used which provided evidence of cointegration between Milk Output and its determinants. The long-run regression results revealed that Milk Powder Output and Milk Powder Price are significant in determining milk response in the long-run in Swaziland with the elasticities of -0.48 and -0.92 respectively, while the short-run coefficients were-0.21 and -0.70 respectively. Both variable were significant at 1% in the short-run and only the Milk Output was significant at 5% (P>0.05) in the short-run. The Vector Error Correction Model (VECM) came out with the correct -0.129 implying that only 12.9% of the shocks will be adjusted back to the long-run path within a month. The study therefore, recommended that the Swaziland Government should promote local market share and purpose policies to decrease the country’s reliance to imported dairy products, which negatively affects economic development.

Development and Degradation: The Nexus between GDP, FDI, and Pollution in India

2020 ◽  
Vol 6 (1) ◽  
pp. 39-49
Author(s):  
Tripura Sundari C. U. ◽  
Anindita Mitra
Keyword(s):  
Error Correction ◽  
Time Series Data ◽  
Unit Root Test ◽  
Wald Test ◽  
Series Data ◽  
Kuznets Curve ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Per Capita

The nexus between development and environment has been a debatable topic for years, more so when foreign direct investment (FDI is used to accelerate the economy. Since environmental Kuznets curve may not be achievable by all economies and many studies have not been able to establish a consistent relationship between FDI and environment, this study determines the liaison between FDI, GDP, and pollution in India with time series data from 1990 to 2015. While per capita GDP plotted against per capita carbon dioxide (CO2) emission indicates an alarming positive relation, the co-integration between FDI, GDP, and CO2 tested using unit root test statistics (augmented Dickey–Fuller test) for stationarity and then by Johansen and Juselius’s multivariate co-integration technique show a long-run co-integration. Since the existence of a relationship between variables does not prove causality, the variables are phrased in a vector error correction (VEC) form and vector error correction mechanism (VECM) Granger causality/block exogeneity Wald test which reveals that FDI has a positive and significant impact on pollution and GDP attracts FDI. This transitive relation suggests that FDI in pollution-controlling technology would be a feasible solution to sustainable development.

scholarly journals Budget Deficits and Economic Growth: A Vector Error Correction Modelling of South Africa

2017 ◽  
Vol 9 (2) ◽  
pp. 215
Author(s):  
Kagiso Molefe ◽  
Andrew Maredza
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Error Correction ◽  
Budget Deficit ◽  
Time Series Data ◽  
Series Data ◽  
Budget Deficits ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

The primary motivation behind this study was to explore the consequential effects of budget deficit on South Africa`s economic growth. Six variables were used, namely: real GDP, budget deficit, real interest rate, labour, gross fixed capital formation and unemployment. The Vector Error Correction Model (VECM) was used to estimate the long-run equation and also measure the correction from disequilibrium of preceding periods. Using annual time series data spanning the period 1985 to 2015, empirical evidence from the study revealed that budget deficits and economic growth are inversely related. It was therefore concluded that high levels of budget deficit in South Africa have detrimental effects on the growth of the economy. The estimate of the speed of adjustment coefficient found in this study revealed that about 29 per cent of the variation in GDP from its equilibrium level is corrected within one year. The results obtained in this study are favourably similar to those in the literature and are also sustained by previous studies.

scholarly journals PENGARUH GUNCANGAN OUTPUT GAP DAN INFLASI TERHADAP SUKU BUNGA SEBAGAI SASARAN OPERASIONAL KEBIJAKAN MONETER DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
Author(s):  
Utami Baroroh
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The objectives of this study are to observe interest rate response because shock/innovation of inflation and output gap. The data sample used in this study are quarterly time series data from 1983.1 – 2008.4. Those data are SBI interest rate, inflation (CPI) and output gap. A method of analysis in this study is Vector Error Correction Model (VECM). The empirical results of impulse response show that the effect of inflation and output gap shock to interest rate is positifDOI: 10.15408/sjie.v1i2.2601

scholarly journals An Analysis of the Relationships among Exports, Imports, Physical Capital and Economic Growth in Pakistan

2020 ◽  
Vol 4 (1) ◽  
pp. 1-1
Author(s):  
Syed Asfand Yar Shah ◽  
Naeem Ahmad ◽  
Wasim Aslam ◽  
Bilal Haider Subhani
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Physical Capital ◽  
Capital Formation ◽  
Series Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Fixed Capital Formation

This review emphasized the relationship among capital formation, economic growth, exports and imports in case of Pakistan scenario using time series data from 1976 to 2015. Augmented Dickey Fuller Test, Johansen Co-integration, Vector error correction model and Granger Causality techniques have been used to check the relationships among exports, imports and economic growth. The results from this study show that the exports, imports, real GDP and gross fixed capital formation have a long run relationship and are co-integrated. This study uses the data of Pakistan and concludes that GDP doesn’t granger cause with the export and import while export and imports do granger cause with the GDP in the long run. Finding of the study also displays that physical capital formation has no impression over GDP. Previous study shows the positive relation among exports, imports, capital formation and economic growth while this study shows that in the long run capital formation and economic growth has no effect. Government subsidizes the exports and also increases the duty bills on imports that help boost the domestic industries manufacture the goods and motivate to produce the best quality of goods. JEL codes: F2, O47

scholarly journals The Dynamic of Macroeconomics Elements in Malaysia: Further Insight into Causality Analysis

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Dayang Hummida Abang Abdul Rahman ◽  
Nuzaihan Majidi ◽  
Jati Kasuma ◽  
Yusman Yacob ◽  
Dayang Affizzah Awang Marikan
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Analysis ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run

This paper intends to explore the causality effect between Growth Domestic Product (GDP), population and unemployment in Malaysia. Based on the observation of Malaysia’s historical data, there is a distinct movement in each of these individual macroeconomics components over the years. Past literature within the same area has illustrated various patterns on the possibility of a causal relationship that each variable has on one another. Several stages of analysis are conducted to verify the presence of causality effect from Malaysian economic perspective, which includes unit root test that employs the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures, followed by Johansen and Juselius test of cointegration and Granger-causality test based on Vector Error Correction Model (VECM) using E-views software. Each procedure is conducted using Malaysia’s time series data for each of the three elements from 1980 to 2013 obtained from Malaysia’s Department of Statistics. Our findings revealed that there is one cointegration detected for the tested variables; whereas the results indicate that population can Granger cause unemployment in the short run. Furthermore, it is found that unemployment solely bears the effect from short run adjustment to bring about the long run equilibrium within the tested framework. This study is important for the policy maker to understand the reason behind the causality effect that could jeopardize the rate of unemployment in Malaysia. As the attention is given specifically to three variables particularly GDP, population and unemployment, this study is aimed at broadening the prospect for further investigation within the same area of macroeconomics.

scholarly journals Economic Growth and Household Expenditure Nexus: A Focus on Education and Health in South Africa

2021 ◽  
Vol 12 (4) ◽  
pp. 89
Author(s):  
Mubanga Mpundu ◽  
Mubanga Mpundu ◽  
Nolutho Diko
Keyword(s):  
Error Correction ◽  
Time Series Data ◽  
Positive Impact ◽  
Series Data ◽  
Correction Coefficient ◽  
Vector Error Correction ◽  
Consumption Expenditures ◽  
Education And Health ◽  
Vector Error ◽  
Per Capita

The COVID-19 pandemic which was first recorded from China and spread globally in 2020 caused a massive response from many countries with most opting for national lockdowns. The move prohibited the movement of people across boarders so as to control and limit the spread of the virus. In developing countries, the move contributed to ill performing economies even before the pandemic was rampant. The study focused on analysing time series data with a focus on the effects of changes in final consumer consumption on health and education on gross domestic product per capita. A Vector Error Correction Model was used as a suitable displaying technique when the factors were found to be cointegrated. Numerous economic variables showed persistent upward or descending movement which could be created by stochastic patterns in incorporated variables. Results showed the error correction coefficient was statistically significant showing the speed at which GDP per capita returned to equilibrium because of changes in the independent variables. What was interesting from the results was the fact that final consumption expenditures on health and education where not negatively affected by shocks in the economy prior and during COVID-19. Consumers where still spending on the health and education as they are considered vital for the development and wellbeing of households even with reduced foreign direct investment observed.  Investment into high return projects both in health and education should be funded more as they in turn tend to have a positive impact on production.   Received: 2 May 2021 / Accepted: 15 June 2021 / Published: 8 July 2021

Export-led Growth Hypothesis: Econometric Evidence from Malaysia

2013 ◽  
Vol 14 (2) ◽  
pp. 94-112
Author(s):  
Hassanudin Mohd Thas Thaker ◽  
Tan Siew Ee ◽  
Sushant Vaidik
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Vector Error Correction ◽  
Distributed Lag ◽  
Long Run ◽  
Paper Cover ◽  
Econometric Evidence ◽  
Augmented Dickey Fuller ◽  
Growth Hypothesis

The objective of this paper is to test the validity of the Export-led Growth Hypothesis (ELGH) in the Malaysian economy. Malaysia has always been considered to have attained its growth primarily through exports (Okposin, Bassey, Hamid, Halim, and Boon, 1999; Mun, 2008; Mahathir, 1990). In the past, several studies on this topic have been conducted but their analyses were limited to relationships using Bound-testing, Autoregressive –Distributed Lag (ARDL) and the Toda Yamamoto analysis. Empirical data and analysis in our paper cover a 21 – year span and quarterly time-series data (1991:Q1 – 2012:Q4) are used to test this ELG hypothesis. Also, many dynamic econometric measures including the Augmented Dickey Fuller (ADF) and Phillip – Perron (PP) unit root tests, Cointegration test as well as the Vector Error Correction model (VEC) for the long run have been applied. Based on these generic models, both real exports and capital stock (productivity) are found to have stimulated positive adjustments to economic growth in the long run whereas real exchange rate is found to have influenced economic growth negatively. Overall, our conclusion is that the ELG hypothesis seems applicable to Malaysia in the long run.

scholarly journals Government Expenditure and Economic Growth in South Africa: A Vector Error Correction Modelling and Granger Causality Test

2017 ◽  
Vol 9 (4) ◽  
pp. 164
Author(s):  
Kagiso Molefe ◽  
Ireen Choga
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Error Correction ◽  
Granger Causality ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship

Previous studies generally find mixed empirical evidence on the relationship between government spending and economic growth. This study re-examine the relationship between government expenditure and economic growth in South Africa for the period of 1990 to 2015 using the Vector Error Correction Model and Granger Causality techniques. The time series data included in the model were gross domestic Product (GDP), government expenditure, national savings, government debt and consumer price index or inflation. Results obtained from the analysis showed a negative long-run relationship between government expenditure and economic growth in South Africa. Furthermore, the estimate of the speed of adjustment coefficient found in this study has revealed that 49 per cent of the variation in GDP from its equilibrium level is corrected within of a year. Furthermore, the study discovered that the causality relationship run from economic growth to government expenditure. This implied that the Wagner’s law is applicable to South Africa since government expenditure is an effect rather than a cause of economic growth. The results presented in this study are similar to those in the literature and are also sustained by preceding studies.

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