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Application on the Austrian Economy Data
Martin Fukač (email@example.com)
In this paper I test for two theoretical relationships using the cointegration approach. First, I test whether growth of nominal wages is a function of the growth of aggregate price level. I find there is a quite close relationship. This fact suggests that the inflation phenomenon is anticipated in the wage policy. Second relationship I test for is the relationship given by the Friedman’s rule, i.e., in equilibrium inflation grows at the same rate as the real output does. I find that this is not the case of Austrian economy, although there is certain causality between inflation and output growth.
I focus in this paper on testing two causal relationships expected by the economic theory. Testing is done on the quarterly economic data of the Austrian economy. In the first case, a microeconomic one, I try to find out whether the nominal wage adjusts for the aggregate price level changes. In other words, I try to test, whether there is a tendency in the economy to keep real wage at least non-decreasing. In the second case, a macroeconomic one, I try to indirectly check whether there is a tendency of the monetary policy to follow the Friedman’s rule. The employed testing procedure is based on the Engle-Granger methodology described in Enders (1995). The paper proceeds as follows. In the next part I describe the data sources and the relevant data transformation for testing. In the second section I briefly sketch the hypothesis to be tested. The methodology of is in the third part. The fourth part presents results and the discussion about them, and the fifth part concludes.
The source of data is the Osterreichisches Institut fur Wirtschaftsforschung (www.wifo.ac.at). The description of quarterly time series I use for this paper is contained in the following Table 1.
Table 1 Original time series Time series of Real Gross Domestic Product Consumer price index Average Nominal Wage Denotation GDPr CPI W Units mill. of ATS (base year 1985) % (base year 1995) ATS Data span 1980:Iq – 1999:IVq 1980:Iq – 1999:IVq 1980:Iq – 1999:IVq Note seasonally unadjusted seasonally unadjusted seasonally unadjusted
and the Figure 3 presents the growth of nominal wages. The transformation and the new variables are described in the Table 2. Table 2 Transformed time series (relevant for testing) Time series of Denotation g Units % % % Data span 1981:Iq – 1999:IVq 1981:Iq – 1999:IVq 1981:Iq – 1999:IVq Transformation form Year-to-Year Real GDP growth Year-to-Year CPI inflation Year-to-Year Nominal Wage growth Note: π w GDPr t − GDPr t −4 ⋅100 GDPr t −4 CPI t − CPI t −4 ⋅ 100 CPI t −4 Wt − Wt −4 ⋅100 Wt −4 Using the described transformation none of the series exhibits a seasonal pattern. Figure 1 Year-to-Year growth of Real GDP 2 .For the testing purposes I have to transform the original data. I plot the graphs of transformed time series which will be used for testing later on. In the following figures. Figure 2 shows the yearly inflation path. The Figure 1 shows the real GDP growth.
Figure 2 Year-to-Year inflation of CPI Figure 3 Year-to-Year growth of Average Nominal Wage 3 .
e. From here. i. 4 . (1) where w is the growth rate of the aggregate nominal wage. I assume the following long-run relationship between price inflation and the growth of nominal wage: wt = b0 + b1π t + et . π is the aggregate price level inflation. I conclude that a rational agent should tend to keep her real earnings at least constant.1 If this is actually true I should be able to find cointegration in the growth of nominal wage and aggregate price level inflation.Test Hypothesis Hypothesis H1: The inflation rate is anticipated in wage contracts The first hypothesis to be tested expects that if economic agents are rational they adjust their wage appropriately to the changes in product prices. and e is iid process. they will tend to keep their real earnings at least constant. Hypothesis H2: 1 The monetary policy follows the Friedman’s rule Because I have not seen an empirical study concerning the labour productivity development in Austria. I assume that the development is non-decreasing..
In this step. one should be able to observe π = g. In testing I proceed as follows.. To formalize this. i. Hence. 2. respectively. pp. Save regression residuals.) Estimate the long-run relationships. the real money supply (m) should growth at the same rate as the long-term real output (g). Basically. I can conclude that the variables in (1) and (2).e. I indirectly test whether the last implication holds. I test for the unit roots in the cases when intercept and trend is present in the regression. i. then when there is the intercept only. 4. including Austria.) If I conclude cointegration in relation (1) and (2) I estimate the error-correction model (ECM).e. ∆ w.This hypothesis is monetary policy oriented.) Test whether the residuals are stationary using again the standard ADFt. ∆ g. In the case of equation (1) I estimate the following system of equations: ˆ ∆wt = α1 + α w et −1 + ∑α11 (i ) ∆wt −i + ∑α12 (i ) ∆π t −i + ε tw i =1 i =1 m m (3) 5 . where g is the growth rate of real output.). If I am able to reject the null hypothesis about the unit root.1). run regression on the equations (1) and (2). 1. 3. The Friedman’s rule says that in order to maintain the aggregate price level stabile (keep inflation constant).e.) I test whether the assumed time series are I(1) which is a necessary condition for the further testing procedure. w. there is really an equilibrium relationship between the inflation growth and real output growth. I should be already able to reject the null hypothesis about the unit root in order to be able to conclude that the original time series (g. I would like to test whether the monetary policy was conducted under the Friedman’s rule that monetary theory suggests and which was actually employed in many developed market economies. The same theory implies that if the rule is followed. To do that I employ the very standard Augmented Dickey-Fuller test (ADFt). and finally without intercept and trend. ∆ π . First. if in the equilibrium the theory implies ∆ m = π and ∆ m = g.. π . If I am not able to reject the null hypothesis about the unit root I run the ADFt on the first differences of the original time series. ) are I(1). For the theory I refer to Enders (1995).. (2) Methodology In order to test for the hypothesis discuss above I utilize the methodology suggested by Engle and Granger (1987). are cointegrated of the orders CI(1. the inflation rate (π ) should be equal to the growth rate of money supply. I estimate π t = b0 + b1 g t + et . Utilizing this fact. I utilize the VAR approach. i. The procedure is the same as in the step 1. 365-373. in equilibrium.
∆π t = α 1 + ∑ β i ∆π t −i + ∑ γ i ∆g t −i + ε t . the models look as (R): (UR): ∆π t = α 1 + ∑ β i ∆π t − i + e t .60 -3. to fulfil both objectives at a time is in practice almost impossible.61b 1.308 0.76 π Critical value -1. This I consider as a sufficient check.99a R^2 0. the parameters α w and α π . n ∆y t = γ y t −1 + ∑ β i ∆y t −i + et i =1 Time series g w Parameter gamma beta(n) gamma beta(n) gamma beta(n) n Estimate -0. to make ε a white noise.0869 -0.51 0.0168 0. Basically. This is done by a simple F-test where I compare restricted (R) and unrestricted model (UR).56 n/ Observations 5 / 84 6 . in our case. w.59 -3.97 1.26 (0.00) 5.66b R^2 0.18 (0. ∆ π . I control for this objective by checking the residuals for serial correlation. In the case of relation (2).10 1. Those will be discussed in the section with results.61b 1.3293 -0.1833 t-test -1.234 0. and ∆ g helps predict ∆ π .00) 9.99a -1.46 -1.62 Durbin-h 1.) If I do not conclude cointegration in the relationships of (1) and (2) I examine them by the simple Granger causality test. ∆ w. (i) maintain the models parsimonious. however.02 (0. My prior criterion is.0098 t-test 3.ˆ ∆π t = α 2 + α π et −1 + ∑α 21 (i ) ∆wt −i + ∑α 22 (i ) ∆π t −i + ε tπ i =1 i =1 m m (4) Estimating (3) and (4) I have to take into account two objectives.158 F-test (p-value) 6. w. The most important outcome from the ECM are. π . and (ii) at the same time receive ε as a white noise.0394 -0. π Table 3 are I(1) ADF-test results for g.015) Durbin-h 1. ∆ g. 5. hence.320 F-test (p-value) 7. But one must be aware that the Granger causality test must be ran on I(0) series.31 Critical value 1.3187 -0.11 n/ observations 5 / 84 4 / 85 5 / 84 ∆y t = a 0 + γ y t −1 + ∑ β i ∆y t −i + et i =1 Time series g Parameter a0 Estimate 0. Next result is the check of causality between the variables. Clearly. i =1 i =1 i =1 m m m (5) (6) Results Testing whether g.61b 1..24 -1.66b -1. I test the hypothesis whether ∆ π helps predict ∆ w. respectively.
75 0.75 (0.99a 1.0016 -2.75 -2.00) 4.62 (0.0636 0.00) 84.2155 n -2. The critical value for the Durbin’s h at 5% level of significance in 1.54 3.05 (0. Table 4 ADF-test results for ∆ g.51 0.99a 1.2794 t-test -6. (a) are critical values for 5% level of significance.60b 1.20 -2.95a 1.0019 -0.60b 1.00) 7.3272 t-test -0.00) 64.17 2.19 3. ∆ w.645.66b -2.36 (0.56 1.18b 1.0007 -0.99a R^2 F-test (p-value) 6.08 3.1617 0.18b 1.323 0.67 0. (I test the Durbin’s h.62 -3.93a 1.5331 -0.66b -2. ∆ π .53 2.99a -1.0001 -1.93 (0.60b 1.00) 0.0055 -0.37 4 / 85 π 0.99a R^2 0.66b -2.49 1.2226 0.001) 1. n ∆y t = γ y t −1 + ∑ β i ∆y t −i + et i =1 Time series ∆g ∆w ∆π Parameter gamma beta(n) gamma beta(n) gamma beta(n) n Estimate -1.0003 -0.w π gamma beta(n) a0 gamma beta(n) a0 gamma beta(n) -0.99a 1.99a -3.74 -2.18b 1.20 -1.47 (0. which is approximately distributed as standard normal distribution.3451 -0.56 (0. by a one-tailed test).34 (0.99a -1.3172 -0.64 -0.11 n/ observations 3 / 83 4 / 84 3 / 83 ∆y t = a 0 + γ y t −1 + ∑ β i ∆y t −i + et i =1 Time series ∆g ∆w Parameter a0 gamma beta(n) a0 gamma beta(n) Estimate -0.07 (0.20 7.56 Critical value 1.7979 0.448 0.20 -5.98 5 / 84 Note: The estimates in bold are statistically significant.00) 24.99a -3.99a -3.0019) Durbin-h n/ Observations g 0.50 n/ Observations 3 / 83 4 / 84 7 .76 F-test (p-value) 33.62 -2.246 0.323 1.00) Durbin-h 1.99a 1.97 1.93a 1.2650 1.99a R^2 0.4424 -0.1364 -0.48 -1.47 F-test (p-value) 42.75 2.0513 0.6548 -0.45 5 / 84 w 0.48 -7.10 -6.44 4 / 85 5 / 84 ∆y t = a 0 + a1t + γ y t −1 + ∑ β i ∆y t −i + et i =1 Time series Parameter a0 a1 gamma beta(n) a0 a1 gamma beta(n) a0 a1 gamma beta(n) Estimate 0.67 0.015) Durbin-h 1.99a 1.99a 1.9650 0.42 -1.66 -2.89 2.00) 4.61b 1.17 2.5325 -1.99a 1.50 1.18 -2.66 (0.99a (0.0001 -0. (b) are critical values for 10%.29 Critical value 1.36 1. In terms of parameter gamma it means that the null hypothesis about unit root is rejected.04 -2.65 -3.87 1.66b -2.3319 -0.7970 0.2605 -0.2889 0.75 Critical value -1.99a 1.1739 0.26 -7.2630 t-test 0.03 2.95a 1.54 3.9947 0.
79 1.9814 0. Yet to be able to continue in the analysis.7178) -0.91 2.15 F (p-value) 93. which is approximately distributed as standard normal distribution.001) 1.679. (I test the Durbin’s h. g.2841 -0.00) 3.25 The parameters in bold are significant at 5% level.6162) R^2 0. by a one-tailed test). In terms of parameter gamma it means that the null hypothesis about unit root is rejected. I consider g as I(1). the I(1) is not so clear for the growth of real output where the test statistic was on the margin of significance (see the table 3. (b) are critical values for 10%.93a 1.) 0.∆π Note: a0 gamma beta(n) -0.59 -5.72 (0. DWL = 1.98 1.e.2738) 0.0003 -0.99a 0. From the ADF test follows that all time series under consideration. The DW statistic is compared with the critical values in Pindyck and Rubinfeld (1996).675) b1 (t-stat. although. The critical value for the Durbin’s h at 5% level of significance in 1. π .44 3 / 83 The estimates in bold are statistically significant. Table 6 Testing for the unit roots in regeression residuals 8 .635. The table 5 shows the estimation results and the table 6 shows the results on testing the regression residuals for a unit root.40 (0.) 0. DWU = 1.02 (0..1079 (-1.51 0. (a) are critical values for 5% level of significance. the first model – parameter gamma for g).21) DW 1. can be handled as integrated of the first order.645. w. Table 5 Estimation results of the long-run relationships Equation (1) (2) Note: b0 (t-stat.0352 (11.48 18. The residuals were subject to the ADF test.0257 (8. i. Testing the long-run relationship In this section I present the results of the relationships expressed by (1) and (2).8155 (9.66b -2.
99a R^2 0.37 -1.12 F-test (p-value) 14. However.0780 -0. In contrast.0013 -0.5387* 0. (a) stands for the 5% significance.1).34 9 . this cannot be taken too seriously because a detailed analysis of residuals proved them not to be a white noise but rather an unspecified process.03 (0.80 (0.03) Durbin-h 1.7093* -0. Table 7 Equation Estimation results of the error-correction model Parameter alpha(1) alpha(w) alpha(11)(1) alpha(11)(2) alpha(12)(1) alpha(12)(2) Estimate -0.2571** t-test 1.76 R^2 F-test (p-value) 19. 4 / 84 4 / 85 The critical values for the parameters gamma are taken from Enders (1996).27 1. I “identify” negative relation between inflation and the real output growth.73 -2.21 -2.29 Critical value -3. (b) stands for 10% significance. The test results in the table 6 suggest that the long-run relationship (1) holds.30 -0.00 -4. p.5139* 0.00) 2.17a 1.53 -2. The model is of the form (3) and (4). and what surprising is.5189 -0.14 6.99a -2.00) Durbin-h (3) 0. where m = 2. The Error-Correction model for the long-run relation (1) In this section I present the results of the error-correction model estimation. From the economic view.11 n/ #obs.47 1. which in fact meets my prior expectations. and I do not identify any cointegration between g and π .2402 -0.0435 -0.2317 t-test -3. I find a positive realtionship between price and wage inflation. The results follow in the Table 7. while.41 0.19b 1. I can conclude that π and w are CI(1. the relationship (2) does not because I cannot reject the null hypothesis about the unit root in the case of the equation (2) residuals.ˆ ˆ ˆ ∆et = γ et −1 + ∑ β i ∆et −i + ε t i =1 n Equation (1) (2) Note: Parameter gamma beta(n) gamma beta(n) Estimate -0.65 1.383. I employ traditional methods of estimating VAR models to obtain the results.10 (0.
74 -1.645.91 R^2 0. To do that I run regression on the restricted model (5) and unrestricted model (6) and evaluate the causality by the standard F-test procedure.0627 -0.12 (0.04 -1.99 10 .0508 -0. there is a quit strong one-sided relationship between inflation and the growth in nominal wages. I can conclude that the hypothesis H1 stated in the part 2 can be accepted.0387 -0.C.1981** t-test 2.46 -0.15) 1. Testing Granger causality between ∆ π and ∆ g Because I did not identify cointegration between π and g of the form (2).0039* -0. Having these results. Table 8 Model (R) Granger causality test results Parameter alpha(1) beta(1) Estimate -0. by a one-tailed test). which is approximately distributed as standard normal distribution.01 -1. (I test the Durbin’s h.01) Durbin-h 0. in this section I am going to test for the one-sided causality between ∆ π and ∆ g.68 -1. The results of the first causality test are stated in the Table 8 below. I test whether ∆ g Granger causes ∆ π . **) are critical values for 10%.37 F-test (p-value) 5. Here. I present the results only on the relation (∆ g G. As one can notice.e.67 Note: The estimates in bold are statistically significant.80 (0.(4) alpha(2) alpha(π ) alpha(21)(1) alpha(21)(2) alpha(22)(1) alpha(22)(2) -0. (*) are critical values for 5% level of significance. The critical value for the Durbin’s h at 5% level of significance in 1.0003 0. i. ∆ π ) because the opposite causality was even less significant.20 0. it seems that the price inflation is anticipated in the contract policy when negotiating wages.1501** -0.50 1.15 2.1324 -0. More precisely..
there was no overall statistically significant improvement.19 -2. (1995). I did not find a causal relation between these two variables. In other words. Estimation. Conclusion Employing the Engle-Granger methodology I was able to accept the hypothesis that the changes in nominal wages reflect the changes in aggregate price level inflation. Even more. I was not able to find a long-run relation between these two variables.0031* -0. hence.20 (0. pp.41 0.. The critical value for the Durbin’s h at 5% level of significance in 1.(UR) Note: alpha(1) beta(1) gamma(1) -0.85 (for the F-stat. John Wiley&sons. Granger (1987). “Applied econometric time series”. with (2. which is approximately distributed as standard normal distribution. which is surprising. 251-276 Pindyck.06 2. Rubinfeld (1996).56 The estimates in bold are statistically significant.W. I have to reject the hypothesis that ∆ g Granger causes ∆ π at the 5% level of significance.2141* 0. and C. 5% significance level). New York Engle. Fourth edition. R. The analysis of the error-correction model supports this conclusion. and Testing”. Econometrica 55 (March).42 3. (*) are critical values for 5% level of significance.01) 1. “Econometric models and Economic Forecast”. The prior expectation that there is a long-term relationship between inflation and the growth rate of real product were not met. The test statistic for the Granger causality test is of the value of 2.97 while the critical value was 3. W.645.L. References Enders. (I test the Durbin’s h.J. I found there is a strong one-sided causality from price inflation to wage inflation but not other way round. R. and D.F. By the same means of analysis I was not able to find any support for the hypothesis that the monetary policy probably follows the Friedman’s rule. Although there were certain time periods (beginning of 90s) when the changes in real output growth helped predicting changes in inflation.S..88) degrees of freedom.Inc.0965* 2. **) are critical values for 10%. my initial hypothesis that rational economic agents have to take into account inflation when negotiating for wages has shown to hold. by a one-tailed test). “Cointegration and Error-Correction: Representation. New York 11 . McGraw-Hill.
CPI clear all close all 12 .Appendix The Matlab code created to run testing done in this paper %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % HW4: COINTEGRATION %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % I examine the relationship between % i.) GDPr vs. CPI % ii.) Wn vs.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % THE ENGLE-GRANGER METHODOLOGY % ***************************** % Testing % ^^^^^^^^ set(0.'yearly growth of OIL') %adf(diff(dGDPr_year).*100) hold on xlabel('[quarters]') ylabel('[%]') figure plot(dt. figure plot(dt.1.dWn_I_year.'yearly growth of GDPr') figure plot(dt. % yearly GDP growth GDPr(end) = GDPr(end-4)./GDPn(1:end-4).*100) hold on xlabel('[quarters]') ylabel('[%]') figure plot(dt.dGDPr_year) legend('CPI inflation'.dOIL_year) legend('CPI inflation'.dCPI_year. %GDPn(end) = mean(GDPn(end-6:end-1)). %dGDPr_year = (GDPn(5:end)-GDPn(1:end-4)). dt = t(5:end)./Wn_I(1:end-4)./CPI(1:end-4)./OIL(1:end-4).dCPI_year.4) 13 .dt.dt(2:end)./GDPr(1:end-4).5). dWn_I_year = (Wn_I(5:end)-Wn_I(1:end-4)).*100) hold on xlabel('[quarters]') ylabel('[%]') figure plot(dt.'DefaultLineLineWidth'. dOIL_year = (OIL(5:end)-OIL(1:end-4)).format short load austria % Model data: % ^^^^^^^^^^^ % yearly inflation dCPI_year = (CPI(5:end)-CPI(1:end-4)).dWn_I_year) legend('CPI inflation'.dCPI_year.dt.dCPI_year.'yearly growth of nomina wage') figure plot(dt.dt. dGDPr_year = (GDPr(5:end)-GDPr(1:end-4)).dGDPr_year.
3). e_std = sqrt(inv(X'*X)*var(e_2)). nk = [1 1. [par t_test] = adf(e_2./diag(e_std)]) %wwwwwwwwwwwwwwwww % Testing stationarity of e: lag_2 = 4. nb = [1 1. e_std = sqrt(inv(X'*X)*var(e_1)).b.dt.) dw(t) = b0 + b1*dCPI(t) + e(t)') disp(' =====================================') const = ones(size(dt)).dt.'r') hold on plot(dt.) The Error Correction model for dCPI vs. % >>>====> "e" is stationary % Error-correction model: (VAR models) % ^^^^^^^^^^^^^^^^^^^^^^ disp(' i. X = [const dCPI_year]. M_1 = arx([diff(dWn_I_year) diff(dCPI_year) ones(size(e_1(2:end)))]. ORDERS = [na nb nk]. %wwwwwwwwwww % >>>====> "e" is stationary disp(' ii.lag_2).figure plot(dt.) CPI(t) = b0 + b1*GDPr(t) + e(t)') disp(' =====================================') const = ones(size(dGDPr_year)). % >>====>>> dWn_I_year ~I(1) %wwwwwwwww disp(' i..lag_1). [par t_test] = adf(e_1.dGDPr_year.05).1 1]..[2 2 1]) e_2(1:end-1) 14 ./diag(e_std)]) %wwwwwwwwwww % Testing stationarity of e: lag_1 = 4.1 1].2 2]. [b bint e_1 eint STATS] = regress(dCPI_year.'k').diff(dGDPr_year).3).X. disp(' Parameters (t-stat) ') disp([b.ORDERS).X.) dGDPr ---> dCPI') [F F_krit] = granger(diff(dCPI_year).b. X = [const dGDPr_year]. disp(' Parameters (t-stat) ') disp([b. %wwwwwwwwwww %adf(diff(dCPI_year). % >>====>>> dCPI_year ~ I(1) %wwwwwwwww adf(diff(dWn_I_year). [b bint e_2 eint STATS] = regress(dWn_I_year.mean(dGDPr_year)*ones(size(dt)). dWn') disp(' ===========================================') na = [2 2. present(M_1) %wwwwwwwwwwwwww disp(' Granger causality test') % ======================= % Testing dX ---> dY % ^^^^^^^^^^^^^^^^^^^ disp(' i.dt(2:end).dt(2:end).05).
j = 1. X = [const GDPr_s].j i]. X = [const R]. nk = [1 1. % quarterly inflation rate diff(R).2 2]. ORDERS = [na nb nk]. [par t_test] = adf(e_1.% Identifying the long run-relationship % ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ disp(' i.1 1]. diff(GDPr_s). %M_2 = arx([diff(CPI) diff(R) e_2(2:end) ones(size(e_2(2:end)))].. M_1 = arx([diff(CPI) diff(GDPr_s) e_1(2:end) ones(size(e_1(2:end)))].[2 1 1]) 15 . %present(M_2) disp(' GRANGER CAUSALITY TEST') % ********************** % Stationarizing time series dt dGDPr dCPI dOIL = = = = t(2:end). % quarterly growth rate of output diff(CPI).) CPI(t) = b0 + b1*OIL(t) + e(t)') disp(' =====================================') const = ones(size(R))..) CPI(t) = b0 + b1*GDPr(t) + e(t)') disp(' =====================================') const = ones(size(GDPr_s)). na = [i j. present(M_1) %wwwwwwwwwwwwww disp(' ii.1 1].ORDERS). % >>>====> "e" is stationary %WWWWWWWWWWWWWWWW % Error-correction model: (VAR models) % ^^^^^^^^^^^^^^^^^^^^^^ disp(' i. nk = [1 1.1 1]. % quarterly changes in the oil price % Testing dX ---> dY % ^^^^^^^^^^^^^^^^^^^ disp(' i. ORDERS = [na nb nk].t. [par t_test] = adf(e_2.X. nb = [1 1. % >>>====> "e" is stationary disp(' ii.t.lag_1).lag_2). [b bint e_1 eint STATS] = regress(CPI.dGDPr.) The Error Correction model for CPI vs.OIL') disp(' ==========================================') i = 2. [b bint e_2 eint STATS] = regress(CPI.) dGDPr ---> dCPI') [F F_krit] = granger(dCPI. % Testing stationarity of e: lag_1 = 4.) The Error Correction model for CPI vs.ORDERS).GDPr') disp(' ==========================================') na = [2 2.X. b STATS % Testing stationarity of e: lag_2 = 1.05). nb = [1 1.1 1].05).
[2 3 0]) 16 .disp(' ii.) dOIL ---> dCPI') [F F_krit] = granger(dCPI.dOIL.