UDC 338.27
DOI: 10.36871/2618-9976.2023.11.002
Authors
Lyudmila O. Babeshko,
Doctor of Economic Sciences, Professor, Financial University under the Government of the Russian
Federation, Moscow, Russia
Abstract
The paper examines the construction of an econometric model of
the dependence of the money supply aggregate M0 on nominal
wages according to Russian Federation data. The problem
of choosing a model specification is solved within the framework
of formal tests, the algorithms of which are implemented in the R
software environment. In practice, as a rule, the true model is unknown
and as a result, a model is estimated that only approximately
corresponds to the process that generates the data.
To date, a number of approaches have been developed for testing
the correctness of the choice of specification, both for nested and
nonnested
competing models. To test nested models, hypotheses
are formulated in the form of restrictions on parameters, which
are tested, for example, using a standard Ftest
for comparing long
(unrestricted) and short (restricted) regression models.
Comparison of nonnested
models is based on the formation of artificial
embedding models – hybrid models that are tested using
a nonnested
Ftest
or Jtest
(Davidson, Mackinnon) [3, 9]. The Jtest
uses only one constraint to make a reasonable choice of model,
which leads to an increase in its power compared to a nonnested
Ftest
with a large number of additional regressors [2].
To select a functional form from a set of competing nonnested
models, the BoxCox
procedure is used, based on a formalized
algorithm for selecting a linearizing transformation from a wide
family of powerlaw
transformations [1]. To compare linear and
loglinear
models, a simplified procedure proposed by Zarembka
Paul [6] has found wide practical application.
When constructing the econometric model under study using the
listed procedures for selecting a functional form, the set of competing
models included: a paired linear regression model; loglinear
model, distributed lag model and autoregressive
model.
Keywords
Money supply aggregate, Functional form of the model, Box-Cox test, Zarembka test, J-test, Autoregressive model
