The cointegration analysis of the interrelation between the gdp of azerbaijan, Russia, belarus and kazakhstan

This Article, based on data from 1994 to 2018, considers the commercial and economic processes between Azerbaijan, Russia, Belarus and Kazakhstan through the GDP indicators of these countries. All the considered time series are unsteady and upon transition to the time series of differences, they retain only information corresponding to short-term changes in their dynamics, and the information about long-term process changes contained in those levels of variables that are lost during the transition to differences is lost. Therefore, problems arise in the correct modeling of such processes having such components that lead to deviation from the stationarity. Using this approach, it is possible to construct a model for thefour non-stationary processes considered within the framework of one problem statement. For this data, the authors ' approach is to apply the cointegration tool and the mechanism of vector error correction, which are practically not applicable by economists in Azerbaijan to date. When modeling, econometric methods and all the necessary sequential statistical procedures required to determine the order of integration of the non-stationary time series, to identify and evaluate model parameters, and to verify its adequacy and the accuracy of short-term and longterm forecast values using Excel and Eviews 8 tools are correctly used. The approach of the impulse response function to shocks based on the vector model of autoregression is applied, based on the idea of cointegration theory, and Johansen tests are carried out tofmd the cointegration space, after which the vector error correction model is built that describes the long-term equilibrium relationship between the studied indicators and the path of returning to the equilibrium trajectory in case of deviation from it. The contributions to the variance offorecast errors of changes in the intrinsic variance of the effective factor and the variance of other variables are determined. As a result, econometrically sound recommendations are developed, which allows to conduct dynamic analyzes to effectively regulate export-import operations between the four countries in order to balance mutual trade. The results show that not only for the states studied here, but also for each country, conduction of monitoring by the governments by using the methodology of the vector model of error correction is very important in order to ensure effective regulation of foreign trade and to participate in regional and global integration processes.