Relation Analysis between Gross Domestic Product and Export of Indonesia with Threshold Vector Error Correction Model

Authors

  • Gama Putra Danu Sohibien Sekolah Tinggi Ilmu Statistik

DOI:

https://doi.org/10.34123/jurnalasks.v8i1.9

Keywords:

GDP, Export, Cointegration, Threshold, TVECM

Abstract

One of the approaches that can be used to analyze the relationship between export and GDP is by using Vector Error Correction Model (VECM). In VECM, the relationship between deviation and short-term dynamics is considered to have a linear pattern. However, the pattern of it may not be linear in various economic circumtances. A A Modelwhich can be used when the relationship pattern between deviation and short-term dynamics is not linear is Threshold Vector Error Correction Model (TVECM). According to the in sample residual, TVECM with 3 regimes is better than other models (VAR, VECM, and TVECM with 2 regimes). According to out sample residual, TVECM with 2 regimes is the better than other models (VAR, VECM, and TVECM with 3 regimes).

 

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Published

2016-06-30

How to Cite

Putra Danu Sohibien, G. (2016). Relation Analysis between Gross Domestic Product and Export of Indonesia with Threshold Vector Error Correction Model. Jurnal Aplikasi Statistika & Komputasi Statistik, 8(1), 1. https://doi.org/10.34123/jurnalasks.v8i1.9