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Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia

Author

Listed:
  • Aivazian, Sergey

    (CEMI RAS, Moscow, Russia)

  • Brodsky , Boris

    (CEMI RAS, Moscow, Russia)

  • Sandoyan, Edward

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

  • Voskanyan, Mariam

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

  • Manukyan, David

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

Abstract

This study is aimed at creation of the macroeconometric models of the key macro-indices of the national economics of Russia and Armenia: GDP, inflation, export and import, the average wage, etc. The choice of predictors of these models is made according to findings from theoretical models developed in the first part of this paper. Methodology of econometric research for non-stationary time series (the majority of macroindicators of these models) is based upon the two-stage procedure of cointegration analysis proposed by Engle and Granger (1987). At the first stage we build long-run cointegration equations aimed at description of stable and long-lasting macrofactors of macroeconomic policy and external trade which influence the dynamics of key macroeconomic indices. At the second stage we build error correction models for taking into account short run factors (seasonality, etc.) influencing these dynamics.

Suggested Citation

  • Aivazian, Sergey & Brodsky , Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 7-31.
  • Handle: RePEc:ris:apltrx:0214
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    References listed on IDEAS

    as
    1. Aivazian, Sergei & Brodsky, Boris, 2006. "Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 2(2), pages 85-111.
    2. Aivazian, Sergey & Brodsky, Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 30(2), pages 3-25.
    3. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Fokin, Nikita & Polbin, Andrey, 2019. "A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth," MPRA Paper 95306, University Library of Munich, Germany, revised Apr 2019.
    2. Idrisov, Georgiy (Идрисов, Георгий) & Kazakova, Maria (Казакова, Мария) & Polbin, Andrey (Полбин, Андрей), 2014. "The theoretical interpretation of the effect of oil prices on economic growth in modern Russia [Теоретическая Интерпретация Влияния Нефтяных Цен На Экономический Рост В Современной России]," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 5, pages 150-171, October.
    3. Aivazian, Sergei & Bereznyatskiy, Alexander & Brodsky, Boris, 2014. "Dutch disease in Russian and Armenian economies," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 32-60.

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    More about this item

    Keywords

    national economy; econometrics; system of simultaneous equations; GDP; investment; CPI; inflation; export; import; real wage; time series; co-integration.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical

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