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Electric power generation and GDP in Russia: Cointegration analysis

Author

Listed:
  • Arkhipov, Roman

    (National Research University Higher School of Economics, Moscow, Russian Federation;)

  • Katyshev, Pavel

    (National Research University Higher School of Economics, Moscow, Russian Federation)

Abstract

We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The existence of cointegration is established and the moment of the structural change is estimated.

Suggested Citation

  • Arkhipov, Roman & Katyshev, Pavel, 2016. "Electric power generation and GDP in Russia: Cointegration analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 38-49.
  • Handle: RePEc:ris:apltrx:0303
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    References listed on IDEAS

    as
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    5. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
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    More about this item

    Keywords

    time series; unit root; cointegration; structural change;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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