Modeling the dynamics of import in the Russian Federation using the error correction model

Andrey Polbin and Nikita Fokin

Applied Econometrics, 2020, vol. 59, 88-112

Abstract: In this paper, we estimate the error correction model for aggregate import in the Russian Federation. In the first step, using DOLS, the long-term function of demand for imports is estimated, which depends on the indicator of aggregate expenses and relative prices, in the second step, the parameters of short-run dynamics are estimated using OLS and GMM. Six alternative indicators are considered as a variable of aggregated expenses. The best determinant of dynamics of import from the point of view of minimizing the errors of prediction and nowcasting is GDP with the exception of government spending.

Keywords: import demand; nowcasting; GMM; cointegration; error correction model; Russian economy; real exchange rate (search for similar items in EconPapers)
JEL-codes: F14 F17 F41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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