An econometric analysis of the relationship between Spanish and Italian private consumption

Authors

  • Agustín Alonso-Rodríguez Real Centro Universitario "Escorial-María Cristina"

DOI:

https://doi.org/10.54571/ajee.558

Keywords:

Econometric approach, VAR models, private consumption data for Spain and Italy, quarterly percentage changes, FRED, OCDE, statistical packages: R, fpp2, vars

Abstract

In this paper, a VAR model is estimated for the percentage change in quarterly private consumption of Spain and Italy. After a brief presentation of VAR models, a VAR(1) is estimated for both time series.

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Author Biography

Agustín Alonso-Rodríguez, Real Centro Universitario "Escorial-María Cristina"

Doctor en Ciencias Económicas, especialidad de Economía Cuantitativa, por la Universidad Complutense de Madrid. Cursos de doctorado en Economía por la Universidad de California, San Diego. Profesor de Econometría Decano de Ciencias Empresariales

References

ALONSO RODRIGUEZ, A., La prediccion de series temporales mediante el modelo de regresión, Anuario Jurídico y Económico Escurialense, LIV(2021) 501-520. DOI: https://doi.org/10.54571/ajee.480

FRED, Federal Reserve Economic Data, https://fred.stlouisfed.org

HAMILTON, J. D., Time Series Analysis, Princeton, New Jersey, Princeton University Press, 1994.

HYNDMAN, R. J. y ATHANASOPOULOS, G., Forecasting, Principles and Practice, segunda edición, OTexts, 2018. Paquete estadístico:fpp2.

HYNDMAN, R. J. y ATHANASOPOULOS, G., Forecasting, Principles and Practice, tercera edición, OTexts, 2021. Paquete estadístico: fpp3.

MARTIN, V., HURN, S. y HARRIS, D., Econometric Modelling with Time Series, Specification, Estimation and Testing, New York, Cambridge University Press, 2013. DOI: https://doi.org/10.1017/CBO9781139043205

OCDE, https://www.oecd.org.

R. R. CORE TEAM(2022). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Viena, Austria, https://www.R-project.org.

SHUMWAY, R. H. y STOFFER, D. S., Time Series Analysis and Its Applications, with R Examples, cuarta edición, Springer, 2017. DOI: https://doi.org/10.1007/978-3-319-52452-8

Tsay, R. S., Multivariate Time Series Analysis, with R and Financial Applications, Haboken, New Jersey, Wiley, 2014.

VARS, statistical package en R, Pfaff Bernhard, 2008.

Published

2023-02-13

How to Cite

Alonso-Rodríguez, A. (2023). An econometric analysis of the relationship between Spanish and Italian private consumption. Anuario Jurídico Y Económico Escurialense, (56). https://doi.org/10.54571/ajee.558

Issue

Section

ECONOMÍA