Econometric modelling in systems of cointegrated variables : applications to the Greek economy

Psaradakis, Zacharias G (1992) Econometric modelling in systems of cointegrated variables : applications to the Greek economy. University of Southampton, Doctoral Thesis.

Abstract

Recent years have witnessed a phenomenal upsurge of interest in the methodology of econometric modelling and the analysis of time series exhibiting homogeneous non-stationarity due to autoregressive unit roots. The objective of this research is the empirical analysis of certain aspects of macroeconomic behaviour in the Greek economy, in the light of these important econometric developments. The inter-relations between: (a) earnings, prices, employment, productivity, hours of work, and competitiveness, and (b) narrow money, inflation, income, and interest rates are analysed in a multivariate framework, using a modelling strategy which develops structural econometric models via sequential reduction of a congruent vector autoregressive data representation. In addition, the performance of competing dynamic empirical econometric models of the demand for narrow money is compared, and the empirical relevance of the Lucas critique is examined. In the modelling exercises great emphasis is placed on the importance of obtaining adequate characterizations of the non-stationaryfeatures of the data, as well as on the necessity of rigorously evaluating a model's congruence with all available information, including that provided by rival model specifications.

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