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The Assessment Of Parameter Uncertainty In A Vector Error Correction Model For Romania

  • Mihaela SIMIONESCU

    ()

    (Bucharest University of Economics)

The assessment of uncertainty that characterizes the econometric model parameters is an important input for policymakers that have to establish more alternative policies to protect against persistent shocks of the economy. The objective of this useful research for policymakers is to evaluate the parameter uncertainty in the behavioural equations of a vector error correction model for Romania. A positive impact of the foreign direct investment and exports on GDP real rate was measured on the horizon Q1:2000-Q4:2012. A permanent shock was observed in parameters. The error correction vector explains quarterly around 10.6% of the desequilibrium. The necessary period for reducing the gap between the value of GDP in the last quarter of 2012 and that in the steady-state is 14 quarters, till the second quarter of 2016.

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Article provided by Institute of National Economy in its journal Romanian Journal of Economics.

Volume (Year): 37 (2013(XXIII))
Issue (Month): 2(46) (December)
Pages: 124-134

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Handle: RePEc:ine:journl:v:2:y:2013:i:44:p:124-134
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  8. Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
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