Struktura systemu makroekonometrycznych modeli oraz rozbudowane bazy danych modelu W8D

Waldemar Florczak; Emilia Gosińska; Katarzyna Leszkiewicz-Kędzior; Władysław Welfe

doi:10.18778/0208-6018.294.03

Authors

Waldemar Florczak Uniwersytet Łódzki, Katedra Modeli i Prognoz Ekonometrycznych
Emilia Gosińska Uniwersytet Łódzki, Katedra Modeli i Prognoz Ekonometrycznych
Katarzyna Leszkiewicz-Kędzior Uniwersytet Łódzki, Katedra Modeli i Prognoz Ekonometrycznych
Władysław Welfe Uniwersytet Łódzki, Katedra Modeli i Prognoz Ekonometrycznych

DOI:

https://doi.org/10.18778/0208-6018.294.03

Abstract

The endogenous theory of growth provides the theoretical underpinning for modelling the knowledge-based economies, which justifies its use to establish the structure and major properties of the new macroeconometric W8D-2010 model of the Polish economy. The paper presents the structure of a new version of the W8D model and describes databases of W-models, covering many hundreds of time series original and transformed. In addition, the methods of time-series analysis are discussed, including tests for the order of integration and structural parameter estimation techniques. Because non-stationary variables are present in the system, the Engle-Granger two-step procedure was indicated as preferred due to the use of ECM allowing for decomposition of adjustment mechanism into long-run and short-run effects.

Downloads

Download data is not yet available.

References

Coe D.T., Helpman E. [1995], International R&D Spillovers, "European Economic Review", nr 39, s. 859-887.
Google Scholar DOI: https://doi.org/10.1016/0014-2921(94)00100-E

Dickey D.A., Fuller W.A. [1979], Distribution of the Estimators for Autoregressive Time Series with a Unit Root, "Journal of American Statistical Association", nr 74, s, 427-431.
Google Scholar DOI: https://doi.org/10.1080/01621459.1979.10482531

Fair R.C. [1994], Specification, Estimation, and Analysis of Macroeconometric Models, Harvard University Press.
Google Scholar

Florczak W. [2003], Bazy danych makroekonomicznych modeli gospodarki polskiej, "Wiadomości Statystyczne", nr 6, s. 16-27.
Google Scholar

Gosińska E., Welfe W. [2012], Business investment functions, [w:] W. Welfe, P. Wdowiński (red.), Modelling Economies in Transition, Wydawnictwo Uniwersytetu Łódzkiego.
Google Scholar

Kwiatkowski D., Philips P.C.B., Schmidt P., Shin Y. [1992], Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root, "Journal of Econometrics", nr 54, s. 159-178.
Google Scholar DOI: https://doi.org/10.1016/0304-4076(92)90104-Y

Leszkiewicz-Kędzior K., Welfe W. [2013], Szacunek naturalnej stopy bezrobocia dla Polski, [w:] L. Kucharski, E. Kwiatkowski (red.), Innowacyjność gospodarki, rynek pracy, determinanty wzrostu gospodarczego, Acta UŁ Folia Oeconomica, Wydawnictwo UŁ, Łódź.
Google Scholar

Leszkiewicz-Kędzior K, Welfe W. [2012], Consumption Function for Poland. Is life Cycle Hypothesis Legitimate?, "Bank i Kredyt", nr 43, s. 5-20.
Google Scholar

MacKinnon J.G. [1996], Numerical Distribution Functions for Unit Root and Cointegration Tests, "Journal of Applied Econometrics", nr 11, s, 601-618.
Google Scholar DOI: https://doi.org/10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T

Welfe A., Karp P., Kębłowski P. [2006], Mechanizmy makroekonomiczne w gospodarce polskiej, Wydawnictwo UŁ, Łódź.
Google Scholar

Welfe W. (red.) [2001], Ekonometryczny model wzrostu gospodarczego, Wydawnictwo UŁ, Łódź.
Google Scholar

Welfe W. (red.) [2009], Makroekonometryczny model gospodarki opartej na wiedzy, Acta Universitatis Lodzensis. Folia Oeconomica 229, Wydawnictwo UŁ, Łódź.
Google Scholar