University of Khartoum

Application of Cointegration Analysis & Error-Correction on the Data of Sudanese Foreign Trade Sector

Application of Cointegration Analysis & Error-Correction on the Data of Sudanese Foreign Trade Sector

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dc.contributor.advisor Khalafala Ahmed Mohammed Araby en_US
dc.contributor.author Rabia Elbagir Jaharasul, Mohammed
dc.date.accessioned 2015-06-15T12:20:51Z
dc.date.available 2015-06-15T12:20:51Z
dc.date.issued 2015-06-15
dc.date.submitted 2008
dc.identifier.uri http://khartoumspace.uofk.edu/handle/123456789/12702
dc.description 74 Pages
dc.description.abstract This study attempts to test the existence of long-run Cointegration relationship in export and import demand functions for Sudan and to determine the short-run dynamics of it. The study uses annual observation on the models variables for the period (1970-2006). Engle-granger, JJ and Hendry methods were used for testing the long-run Cointegration relationship, which were found three attributes, from of error correction model, where determined on the basis of longrun relationship. The first model was derived from Engle-Granger method’s, the second model was derived from Johansen and Juselius method, but the third model was derived Hendry method of Cointegration. The empirical result of unit root tests showed that the variables export of goods, import of goods, domestic product, consumer price index, consumer price for the industrial countries, GDP deflator and an aggregate demand have a unit root i.e. it does not accept hypothesis of the stationarity of such time series. It was clear that, through the application of Hendry test of Cointegration, that there is stationary and equivalent relation in long run between the variables of the study. The error terms test, which carries the negative sign and is statistically significant, indicated that the variables of the export demand and the variables of import demand are cointegrated in Hendry model, and that the speed of adjustment of the equilibrium status in the import demand model is greater than export demand model. This amounted to 75%, 56% respectively. en_US
dc.language.iso en en_US
dc.publisher University of Khartoum en_US
dc.subject Cointegration Analysis,Data,Sudanese Foreign Trade Sector en_US
dc.title Application of Cointegration Analysis & Error-Correction on the Data of Sudanese Foreign Trade Sector en_US
dc.type Thesis en_US
dc.Degree M.Sc en_US
dc.Faculty Faculty of Economic & Social Studies en_US
dc.contributor.faculty Department of Econometric & Social Statistics en_US

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