Johansen’s Cointegration Analysis of Some Factors of Economic Growth and Exports of Products from the Republic of Azerbaijan to Ukraine
Alizade A. R.

Alizade, Arzu Rafik. (2024) “Johansen’s Cointegration Analysis of Some Factors of Economic Growth and Exports of Products from the Republic of Azerbaijan to Ukraine.” The Problems of Economy 2:5–20.
https://doi.org/10.32983/2222-0712-2024-2-5-20

Section: World economy and international relations

UDC 519.86

Abstract:
In the present paper, a Johansen’s cointegration analysis is carried out considering the volume of exports from Azerbaijan to Ukraine, GDP per capita of Ukraine, the openness of the economy of Ukraine and the economically active population of Azerbaijan for the period 1996-2022, also a comparative analysis of the above indicators is carried out, the characteristics of joint short-term and long-term movements are determined. In the course of research the author used the methodology of modified gravitational modeling, the econometric methodology of time series analysis, including tests for checking stationarity, the extended Dickey-Fuller test, the Granger test for the detection of causality, determining the cointegration dependence using the Johansen’s test, a Vector Error Correction Model (VECM) has been built. First, a basic modified model of gravity has been built, and the statistical adequacy of this model has been checked. A comparative analysis of two regression models was carried out after the inclusion of the trend component in one of them. The dynamic structure of regression residuals was studied and the test for heteroscedasticity and autocorrelation was carried out. It is shown that the most suitable specification for cointegration is the quadratic trend in the initial levels with a linear trend in cointegration relationships, which has led to the emergence of two cointegration vectors. As a result of the completed analysis, two cointegration relationships are obtained. The results of the impulse response functions, decomposition of dispersions and the VECM model in the form of combinations of two cointegrating vectors with the expected signs of the adjustment integers showed that the economic indicators used in the analysis for the specified period maintain cointegration in the long term with the not stable equilibrium joint movements of the factors under study.

Keywords: cointegration, cointegrating vectors, error correction models, gravitational method, impulse response function.

Fig.: 8. Tabl.: 12. Formulae: 14. Bibl.: 17.

Alizade Arzu Rafik – Candidate on Doctor Degree, Department of Mathematical Economics, Baku State University (23 Academician Zahida Khalilova Str., Baku, Azerbaijan)
Email: arzu.alizade.98@mail.ru

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