Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72273
Authors: 
Jumah, Adusei
Kunst, Robert M.
Year of Publication: 
2004
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 149
Abstract: 
Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many demand sub-aggregates in output are rather mobile and changing over time. In order to simultaneously capture the flexibility of the shares of the sub-aggregates and the long-run constancy of the share of the total aggregate, we consider trivariate systems of two macroeconomic sub-aggregates and output with errorcorrection terms that are non-linear functions of the original variables. The merits of the models are evaluated by means of several forecasting experiments.
Subjects: 
macroeconomic accounts
great ratios
non-linear error correction
forecasting
JEL: 
C32
C53
E27
Document Type: 
Working Paper

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