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Approach Analysis of (VAR) and (VEC) for Panel Data with Case Study: National Accounts of the GCC (1970-2012) | ||
| Gulf Economist | ||
| Article 1, Volume 32, Issue 30, 2016, Pages 1-30 PDF (0 K) | ||
| Authors | ||
| Zahra Hasan al Tameemi; Khadeeja Adnan Hameed | ||
| Abstract | ||
| The research aims to represent analytical approach using vector autocorrelation of the panel data and apply it to an appropriate model to demonstrate the relationship between gross domestic product (GDP) and the macroeconomic variables ( total consumption (CON), investment spending (INV)- exports (EX) - import (IM) ) of selected Arab countries (Kuwait, Qatar, Saudi Arabia, Oman, Bahrain & Emirates) , to test the existence of long run Cointegration relation among these series . In this research the stability of variables has been studies using the unit root tests for panel data (panel unit root) were traditional methods is adopted regardless of the interdependence between the units cross sections (countries). Also used IPS test which is studying the interrelationship between the various units (cross-section dependency). These tests have reached a lack of stability of each of (GDP, CONS, FC, EX, IM) at level ,but integrated of order one, and then co-integration test is used, the adoption of residuals-based style showed only one Cointegration relation exist . Then error correction model were estimated by using Fully Modified Least Squares (FMOLS) proposed by (Pedroni) .The static analysis is used as well after applying (Hausman test) to test the random effect and to determine whether the appropriate model is the Random Effect model or Fixed Effect Model .Finally the short term and long term elasticities have been studied statistically and dynamically. | ||
| Keywords | ||
| VAR; VEC; Panel Data; LLC; IPS; FMOLS; Hausman Test; Random Effect; Fixed effect | ||
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