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! ]

Cointegration in a Macroeconomic System

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Kunst, Robert
Neusser, Klaus

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

Abstract

This paper investigates the long-run relationships within a set of six quarterly time-series on the Austrian economy by means of cointegration. After analyzing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum-likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic time trends. In a next stage we investigate whether the empirically determined cointegrating relationships are compatible with implications derived from the neoclassical growth model with exogenous stochastic technical progress. It is found that the Austrian data strongly reject the propositions that the real interest rate and the log ratios of consumption to output, investment to output, and the real gross wage sum to output are stationary. Copyright 1990 by John Wiley & Sons, Ltd.

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 file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0883-7252%28199010%2F199012%295%3A4%3C351%3ACIAMS%3E2.0.CO%3B2-H&origin=bc
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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 John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 5 (1990)
Issue (Month): 4 (Oct.-Dec.)
Pages: 351-65
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:jae:japmet:v:5:y:1990:i:4:p:351-65

Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/

Order Information:
Email:
Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, 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. Paul D. Mcnelis & Anjum Siddiqui, 1994. "Debt And Deficit Dynamics In New Zealand: Did Financial Liberalization Matter?," International Economic Journal, Korean International Economic Association, vol. 8(3), pages 71-87, October. [Downloadable!] (restricted)
  2. Palaskas, Theodosios B. & Varangis, Panos N., 1991. "Is there excess co-movement of primary commodity prices? A co-integration test," Policy Research Working Paper Series 758, The World Bank. [Downloadable!]
  3. Jumah, Adusei & Kunst, Robert M., 2005. "Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction," Economics Series 168, Institute for Advanced Studies. [Downloadable!]
  4. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  5. David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 163-177, January. [Downloadable!] (restricted)
  6. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  7. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc stands for Research Papers in Economics.

This page was last updated on 2008-8-5.

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.