APPLICATIONS OF COINTEGRATION MODELS WITH THE STATISTICAL SOFTWARE R
*R. Gautham Goud and **V. Nagaraju
*Department of Basic Sciences, Gokaraju Rangaraju Institute of Engineering and Technology, Hyderabad, India. Email: email@example.com
**Department of Mathematics and Statistics, Vignana Bharathi Institute of Technology, Ghatkesar, Hyderabad, India. Email: firstname.lastname@example.org
This paper focuses on estimates of Cointergration models. The data used, is from 1955-2011, collected from Reserve Bank of India. The aim of this study is to identify the long-run relationship between the variables as well as the stationarity and non-stationarity of the variables by applying the Engle-Granger (1989) estimation procedure, Phillip-Ouliaris (1990) residual-based test and Johansen‟s Multivariate technique. The cointegration techniques are tested on the data set “Selected Money ratios in India” using the statistical software R. We tested for cointegration between the three ratios of income velocity. Finally the result had shown that the three techniques are not identical. However, if the data suggests more than one the cointegrating relationship, then Johansen‟s method is able to detect it.
Key words: Cointegration, Stationarity, Non-Stationarity and Income velocity.
eJournal of Mathematical Sciences, Technology and Humanities
Issue 2, Pages: 978 - 992