Econometric analysis of New Zealand and UK's real income growths
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New Zealand & United Kingdom FURKAN TEMÜR
Transcript of Econometric analysis of New Zealand and UK's real income growths
New Zealand & United Kingdom
FURKAN TEMÜR
Outline • Information about countries
• Regression
• Heteroscadasticity Tests
• Autocorrelation Test
• Stationary and Unit root Test
• Vector and Granger Causality Test
• Business cycles
• Johansen Cointegration Analysis
• Conclusion
New Zealand
• Population: 4,237,081
• GDP per capita: $40,481
• Currency: New Zealand dollar (NZD)
United Kingdom
• Population: 64,100,000
• GDP per capita: $44,141
• Currency: Pound sterling (GBP)
Regression
Heteroscadasticity and Autocorrelation Tests
White Test
o F-statistic: 5.286640 Prob. F(2,74): 0.0071
o Obs*R-squared: 9.626475 Prob. Chi-Square(2) : 0.0081
o Scaled explained SS: 5.311019 Prob. Chi-Square(2) : 0.0703
Durbin-Watson stat: 0.149550
Breusch-Godfrey Serial Correlation LM Test:
o F-statistic: 213.5899 Prob. F(2,73) 0.0000
o Obs*R-squared: 65.76204 Prob. Chi-Square(2) 0.0000
o Durbin-Watson stat: 1.975156
o Multicollinearity test is not valid
Stationary and unit root tests
Stationary at first difference
Engle granger test
Engle granger test cont.
-.008
-.006
-.004
-.002
.000
.002
.004
.006
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RESID01
The Error Correction Model
-.015
-.010
-.005
.000
.005
.010
.015
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RESID04
Vectors and Granger Causality Test
Granger Causality Test
Impulse Responses
-.001
.000
.001
.002
.003
1 2 3 4 5 6 7 8 9 10
Response of DNEW to DNEW
-.001
.000
.001
.002
.003
1 2 3 4 5 6 7 8 9 10
Response of DNEW to DUK
-.0004
.0000
.0004
.0008
.0012
.0016
1 2 3 4 5 6 7 8 9 10
Response of DUK to DNEW
-.0004
.0000
.0004
.0008
.0012
.0016
1 2 3 4 5 6 7 8 9 10
Response of DUK to DUK
Response to Generalized One S.D. Innovations ± 2 S.E.
Business cycles
-.008
-.004
.000
.004
.008
1.40
1.44
1.48
1.52
1.56
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NZEAL Trend Cycle
Hodrick-Prescott Filter (lambda=1600)
-.008
-.004
.000
.004
.008
1.44
1.46
1.48
1.50
1.52
1.54
1.56
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UK Trend Cycle
Hodrick-Prescott Filter (lambda=1600)
Johansen Cointegration Analysis
Johansen Cointegration Analysis cont.
Thank you for your attention
