scholarly journals A Multivariate Time Series Analysis of Household Debts during 2007-2009 Financial Crisis in South Africa: A Vector Error Correction Approach

2014 ◽  
Author(s):  
Ntebogang Dinah Moroke ◽  
Janine Mukuddem-Petersen ◽  
Mark Petersen
Keyword(s):  
South Africa ◽  
Time Series ◽  
Financial Crisis ◽  
Time Series Analysis ◽  
Error Correction ◽  
Multivariate Time Series ◽  
Vector Error Correction ◽  
Series Analysis ◽  
Vector Error ◽  
Multivariate Time Series Analysis

scholarly journals Demonstrating The Use Of Vector Error Correction Models Using Simulated Data

2012 ◽  
Vol 8 (4) ◽  
pp. 377
Author(s):  
Carl B. McGowan, Jr. ◽  
Izani Ibrahim
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Error Correction ◽  
Random Component ◽  
Error Correction Models ◽  
Vector Error Correction ◽  
Series Analysis ◽  
Use Of Time ◽  
Vector Error ◽  
Vector Error Correction Models

In this paper, we demonstrate the use of time series analysis, including unit roots tests, Granger causality tests, cointergation tests and vector error correction models. We generate four time series using simulation such that the data has both a random component and a growth trend. The data are analyzed to demonstrate the use of time series analysis procedures.

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