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Engle & Granger Cointegration Test For Gdp And Public Consumption In The Republic Of North Macedonia

Author

Listed:
  • Ivanovski, Zoran

    (University of Tourism and Management in Skopje)

  • Ivanovska, Nadica

    (Central Cooperative Bank)

  • Korunovska, Vesna

    (Customs Office of the Republic of North Macedonia.)

Abstract

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years’ time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides same conclusions. We did not find the presence of spurious regression. ADF Unit Root Test on residuals confirms that residuals are not stationary and that series are not cointegrated. Engle-Granger cointegration test and Phillips Ouliaris cointegration test results confirms that GDP and Public consumption of the Republic of North Macedonia are not cointegrated and can be used for further analyze using VAR(p) model..

Suggested Citation

  • Ivanovski, Zoran & Ivanovska, Nadica & Korunovska, Vesna, 2022. "Engle & Granger Cointegration Test For Gdp And Public Consumption In The Republic Of North Macedonia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 13(2), pages 221-235.
    • Handle: RePEc:ris:utmsje:0336
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    More about this item

    Keywords

    cointegration; VAR; stationarity; public consumption; probability;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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