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Cointegration in a Macroeconomic System

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  • Kunst, Robert
  • Neusser, Klaus

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.

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Bibliographic 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

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Handle: RePEc:jae:japmet:v:5:y:1990:i:4:p:351-65

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Cited by:
  1. Jacobson, Tor & Ohlsson, Henry, 1994. "Long-Run Relations between Private and Public Sector Wages in Sweden," Empirical Economics, Springer, vol. 19(3), pages 343-60.
  2. Vogelvang, E., 1989. "Dynamic interrelationships between spot prices of some agricultural commodities on related markets : a first examination," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  3. Löf, Mårten & Lyhagen, Johan, 1999. "Forecasting performance of seasonal cointegration models," Working Paper Series in Economics and Finance 336, Stockholm School of Economics.
  4. Hong Li & Vince Daly, 2009. "Testing the balanced growth hypothesis: evidence from China," Empirical Economics, Springer, vol. 37(1), pages 185-200, September.
  5. Vogelvang, E., 1990. "Testing for co-integration with spot prices of some related agricultural commodities," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Peter Kugler, 1991. "Growth, exports and cointegration: An empirical investigation," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 127(1), pages 73-82, March.
  7. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo Group Munich.
  8. Bec, Frédérique, 1994. "Impulsions dominantes et analyse des fluctuations de l’économie française," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 5-26, mars.
  9. Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. David Harvey & Stephen Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 163-177.
  11. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft.
  12. 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.
  13. Choe, Young Chan & Koo, Won W., 1993. "Monetary Impacts On Prices In The Short And Long Run: Further Results For The United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(02), December.
  14. Vogelvang, E., 1990. "Hypotheses testing concerning relationship between spot prices of various types of coffee," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  15. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
  16. 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.

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