This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Gomez Zaldivar, M. ()
Ventosa-Santaularia, D. ()

Additional information is available for the following registered author(s):

Abstract

This article presents a critical appraisal of three different econometric techniques commonly employed to analyze causal relationships among economic series. Our results indicate that the empirical application of the Granger causality test, the Engle-Granger cointegration test and the Hausman test for causality performed with small samples suffers severe size distortions, and therefore that the results should be taken with caution. Furthermore, we show that these tests produce better results if the series are differentiated. Our results are applied to the series for consumption and GDP in Mexico and the US and suggest that these series are cointegrated in the case of the US only (causality and cointegration are different). We comment upon these results in relation to the conclusions of Guisan (2004), and other related studies, in which several methods are used to analyze the bilateral causality between consumption and GDP in Mexico and the US and where it was found that cointegration and Granger causality tests may fail to detect the true causal relationships.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.usc.es/~economet/journals1/aeid/aeid916.pdf
File Format:
File Function:
Download Restriction: Access restricted to subscribers and Pay Per View access through SSRN. Free on line subscription for universities from low income countries. More information at http://www.usc.es/economet/info.htm

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.

Volume (Year): 9 (2009)
Issue (Month): 1 ()
Pages:
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eaa:aeinde:v:9:y:2009:i:1_6

Contact details of provider:
Web page: http://www.usc.es/economet/eaa.htm

Order Information:
Email:
Web: http://www.usc.es/economet/info.htm

For technical questions regarding this item, or to correct its listing, contact: (M. Carmen Guisan).

Related research
Keywords: Granger causality test; cointegration; Mexico; the US; consumption and Gross Domestic Product;

Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
O51 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
O57 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Manuel Gomez & Daniel Ventosa-Santaularia, . "Testing for a Deterministic Trend when there is Evidence of Unit-Root," School of Economics Working Papers EM200801, Universidad de Guanajuato. [Downloadable!]
  2. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
    Other versions:
  3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
    Other versions:
  4. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2009-11-22.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.