Author(s): Abdi Tesfaye, Gemechu Bekana, Mekonin Abera


DOI: 10.5958/0975-4377.2020.00041.5   

Address: Abdi Tesfaye1, Gemechu Bekana2, Mekonin Abera3
1Department of Statistics, College of Natural and Computational Science, Bule Hora University, Bule Hora, Ethiopia.
2Assistant Professor of Statistics, Department of Statistics, College of Natural and Computational Science, Wollega University, Nekemte, Ethiopia.
3Lecturer of Statistics, College of Natural and Computational Sciences, Wollega University, Ethiopia.
*Corresponding Author

Published In:   Volume - 12,      Issue - 4,     Year - 2020

The objective of this study was to Analysis of Economic Growth indicators in Ethiopia using Vector Autoregressive models. Yearly data set on the variables for the period of 1988 to 2018 was obtained from the National Bank of Ethiopia (NBE) and CSA. Vector Autoregressive (VAR) Models, Testing Stationary: Unit root test, Estimating the Order of the VAR, Cointegration Analysis (testing of cointegration), and Vector Error Correction (VEC) Models were used in this study for data analysis. Unit root test reveals that all the series are nonstationary at level and stationary at first difference. The result of Johansen test indicates the existence of one cointegration relation between the variables: LRGDP, Lexport, Limport, inflation and Exchange rate are co-integrated, implies that the variables have long run equilibrium relationship. The Result of Vector Error Correction Model (VECM) from term in LRGDP equation is weakly significant at 5% level and has a negative value, implying that there exists a long run relationship running from inflation, Lexport, Limport and Exchange rate to Real GDP. The final result shows that a Vector Error Correction (VEC) model of lag two with one cointegration equation best fits the data.

Cite this article:
Abdi Tesfaye, Gemechu Bekana, Mekonin Abera. Analysis of Economic growth indicators in Ethiopia using vector Autoregressive Models. Res. J. Pharma. Dosage Forms and Tech.2020; 12(4):249-257. doi: 10.5958/0975-4377.2020.00041.5

1.    (;Accessedon 17th July, 2018.
2.    Abugamea, G. H. (2015). “The competitiveness of the Palestinian foreign trade: cointegration analysis”. In Economic Research Forum Working Papers (No. 541).
3.    Agalega et al (2013). “Two variables to establish their relationship with GDP of Ghana. Journal of Management, 10(1), 0025 – 0032.
4.    Ahdi et al., (2013). “investigated the dynamic causal link between exports and economic growth in Ethiopia”, Journal of, 4(2).
5.    Central Statistical Agency (CSA, 2005).  Report of the 2005.  Federal Democratic Republic of Ethiopia, Addis Ababa.  Central Statistical Authority (2001). Statistical Abstract
6.    Dechassa Obsiet al., (2015). “Vector Autoregressive Modelling of Some Economic Growth Indicators of Ethiopia”. PhD thesis.
7.    Dickey, D. A. & W. A. Fuller (1979), “Distribution of Estimators of Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-31.
8.    Dickey, D. A. & W. A. Fuller (1981) “Likelihood ratio Statistics for autoregressive time series with a unit root,” Econometrica, 49(4):1057-72.
9.    Etsubdink Sileshi (2011). “Determinants of Economic Growth in Ethiopia”, Addis Ababa University.
10.    Hilbe, J. M. (2009), Logistic Regression Models, Chapman & Hall, London  
11.    Johansen, P. (1988): “Statistical Analysis of Cointegration Vectors”. Journal of Economic Dynamics and Control, 12, 231-254.
12.    Johansen, S. and K. Juselius (1999), Identification of the Long- Run and the Short-Run Structure. An Application to the ISLM model. Journal of Econometrics.
13.    Lutkepohl, H. (2005): Introduction to Multiple Time Series Analysis. Springer-Verlag, Berlin.
14.    NBE (2013/14), National Bank of Ethiopia Annual Report (bulletin), 2013/14, Addis Ababa.
15.    Noell. S.Edd, Smith S.L.Stephen, Webb.G. Bruce. (2013). “Economic Growth: Unleashing the Potential of Human Flourishing”. Washington, DC: AEI Press.
16.    Philips, P. C. B. (1987). Understanding Spurious Regression in Econometrics. Journal of Economics, 33, 311-340.
17.    Riley A and Bathiche T, 2012. “Poverty reduction and transportation infrastructure in Timor-Leste. Report prepared for United States Agency for International Development (USAID) by Louis Berger”, Washington DC, USA. 23p.
18.    Seifu Neda (2010). “multivariate time series analysis of inflation in the case of Ethiopia”. MSc Thesis Addis Ababa University.
19.    Shahzad A. and Al-Swidi A.K., 2013. “Effect of macroeconomic variables on the FDI inflows: The moderating role of political stability”: Evidence from Pakistan, Asian Social Science, 9(9), 270-279, (2013).
20.    World Bank annual report of Global Development (2018).

Recomonded Articles:

Author(s): Abdi Tesfaye, Gemechu Bekana, Mekonin Abera

DOI: 10.5958/0975-4377.2020.00041.5         Access: Closed Access Read More

Research Journal of Pharmaceutical Dosage Forms and Technology (RJPDFT) is an international, peer-reviewed journal, devoted to pharmaceutical sciences. ...... Read more >>>

RNI: Not Available                     
DOI: 10.5958/0975-4377 

Recent Articles