Relation Analysis between Gross Domestic Product and Export of Indonesia with Threshold Vector Error Correction Model
DOI:
https://doi.org/10.34123/jurnalasks.v8i1.9Keywords:
GDP, Export, Cointegration, Threshold, TVECMAbstract
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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References
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Export Growth and GDP Growth in Developing Countries: Panel
Cointegration Approach”,
International Journal of Humanities and Social Science, Vol 1, No.16, Hal 223- 231
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Empirical Evidence from Shanghai”, Australian Economic Papers, 37(2), Hal 195-202
Silaghi (2009), “Exports-Economic Growth Causality: Evidence from CEE
Countries”, Romanian Journal of Economic Forecasting-2/2009, Hal 105-117
Stigler, M. (2010). Threshold Cointegration: Overview and
Implementation in R, (online), Wei, W.W.S. (2006), Time Series Analysis
(http://cran.r- Univariate and Multivariate project.org/package=tsDyn, diakses Method, Second Edition. Pearson
15 September 2014). Addison Wesley, USA.
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Jakarta
Indonesia”, AGRISE, Vol. XIV, No. 1, Januari 2014, Hal 1-13.
Balke, NS, dan Fomby TB. (1997),
“Threshold Cointegration”,
International Economic Review, Vol. 38, Hal. 627-645
Bhagwati (1988), “Export-Promoting Trade
Strategi: Issues and Evidence”, The World Bank Research Observer,
Vol.3, No.1, Hal 27-57
Enders, W. (2004), Applied Econometric Time Series 2nd Edition., John Wiley & Sons Inc, New York.
Engle, R.F dan Yoo, B.Y. (1987), “Forecasting and Testing in Co-
Integrated Systems”, Journal of Econometrics, Vol. 35, Hal. 143-159.
Esteve, V. dan Prats, M.A. (2010),
“Threshold Cointegration and Nonlinear Adjustment between Stock
Prices and Dividens”, Applied
Economics Letters, Vol. 17, Hal. 405410.
Granger, C.W.J. (1969),” Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 428-438
Granger, C.W.J dan Terasvirta (1993), Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics), Oxford: Oxford
University Press
Grasso, M, (2010), “Three-Regime Threshold Error Correction Models and the Law of One Price: The Case of European Electricity Markets”, Working Paper n.30
Grossman dan Helpman (1990), “Trade, Innovation, and Growth”, The American Economic Review, Vol.80, No.2, Hal 86-91
Gujarati, D. (2004), Basic Econometric, McGraw-Hill, New York. Hansen, BE dan Seo, B. (2002), “Testing Two-Regime Threshold Cointegration in Vector Error Correction Models”, Journal of Econometrics, Vol. 110, hal. 293-318.
Iqbal, Hameed, dan Devi (2012), “ Relationship between Export and
Economic Growth of Pakistan”, Europan Journal of Social Sciences, Vol.32, No.3, Hal 453-460
Johnson, R.A. dan Wichern D.W., (2002), Applied Multivariate Statistical Analysis, 7th edition, New Jersey, Prentice Hall
Khan, Malik, dan Hasan, (1995), “ Export,
Growth, and Causality: An
Application of Co-integration and Error-Correction Modelling”, The Pakistan Development Review 34:4, Part III (Winter 1995) , Hal 10011012.
Lihan dan Yogi, (2003), “Analisis Perkembangan Ekspor dan
Pengaruhnya terhadap Pengaruhnya terhadap Pertumbuhan Ekonomi di Indonesia”, Jurnal Ekonomi dan
Bisnis, No1, Jilid 8, Hal 15-21 Mehrara dan Firouzjaee (2011), “ Granger Causality Relationship between
Export Growth and GDP Growth in Developing Countries: Panel
Cointegration Approach”,
International Journal of Humanities and Social Science, Vol 1, No.16, Hal 223- 231
Mishra (2011), “Dynamics of Relationship between Exports and Economic Growth in India”, International Journal of Economic Science and Applied Research, Vol. 4, No.2, Hal 53-70
Shan dan Tian (1998), “Causality between Exports and Economic Growth: The
Empirical Evidence from Shanghai”, Australian Economic Papers, 37(2), Hal 195-202
Silaghi (2009), “Exports-Economic Growth Causality: Evidence from CEE
Countries”, Romanian Journal of Economic Forecasting-2/2009, Hal 105-117
Stigler, M. (2010). Threshold Cointegration: Overview and
Implementation in R, (online), Wei, W.W.S. (2006), Time Series Analysis
(http://cran.r- Univariate and Multivariate project.org/package=tsDyn, diakses Method, Second Edition. Pearson
15 September 2014). Addison Wesley, USA.
Todaro, M.P, (2000), Ekonomi untuk Negara Berkembang, Bumi Aksara,
Jakarta
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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
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