In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...