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! ]
Panel data model comparison for empirical saving-investment relations Author info | Abstract | Publisher info | Download info | Related research | Statistics Helmut Herwartz
Fang Xu
Additional information is available for the following
registered author(s):
The Feldstein-Horioka puzzle has triggered a broad range of econometric specifications to investigate saving-investment (SI) relations. In this article, we attempt to determine a family of econometric models that is most suitable in explaining actual ratios of domestic investment to GDP via cross-validation techniques. Comparing between, pooled, time and country dependent specifications of the SI relation, the country dependent model is best performing. Moreover, error correction models formalizing adjustment dynamics of domestic investment ratios are markedly outperformed by static panel models. Supporting evidence for a cointegration relation between domestic saving and investment ratios is not found.
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.
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.
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters .
Volume (Year): 16 (2009)
Issue (Month): 8 ()
Pages: 803-807
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:taf:apeclt:v:16:y:2009:i:8:p:803-807Contact details of provider: Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Order Information: Web: http://www.tandf.co.uk/journals/subscription.html
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Other versions of this item:
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.: Coakley, Jerry & Kulasi, Farida, 1997.
"Cointegration of long span saving and investment ,"
Economics Letters ,
Elsevier, vol. 54(1), pages 1-6, January.
[Downloadable!] (restricted)
Obstfeld, Maurice, 1986.
"Capital mobility in the world economy: Theory and measurement ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 24(1), pages 55-103, January.
[Downloadable!] (restricted)
Other versions: Pesaran, M. Hashem & Smith, Ron, 1995.
"Estimating long-run relationships from dynamic heterogeneous panels ,"
Journal of Econometrics ,
Elsevier, vol. 68(1), pages 79-113, July.
[Downloadable!] (restricted)
Other versions: Martin Feldstein & Charles Horioka, 1980.
"Domestic Savings and International Capital Flows ,"
NBER Working Papers
0310, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Martin Feldstein, 1982.
"Domestic Saving and International Capital Movements in the Long Run and the Short Run ,"
NBER Working Papers
0947, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Feldstein, Martin, 1983.
"Domestic saving and international capital movements in the long run and the short run ,"
European Economic Review ,
Elsevier, vol. 21(1-2), pages 129-151.
[Downloadable!] (restricted) Martin Feldstein, 1991.
"Domestic Saving and International Capital Movements in the Long Run and the Short Run ,"
NBER Chapters ,
in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 331-353
National Bureau of Economic Research, Inc.
[Downloadable!] Balke, Nathan S & Fomby, Thomas B, 1997.
"Threshold Cointegration ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
Other versions: Jerry Coakley, Ana-Maria Fuertes, Ron Smith, 2001.
"Small sample properties of panel time-series estimators with I(1) errors ,"
Computing in Economics and Finance 2001
191, Society for Computational Economics.
Other versions: Cavaliere, Giuseppe, 2005.
"Limited Time Series With A Unit Root ,"
Econometric Theory ,
Cambridge University Press, vol. 21(05), pages 907-945, October.
[Downloadable!]
Other versions: Olivier Blanchard & Francesco Giavazzi, 2002.
"Current Account Deficits in the Euro Area: The End of the Feldstein Horioka Puzzle? ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 33(2002-2), pages 147-210.
[Downloadable!]
Herwartz, Helmut & Xu, Fang, 2006.
"Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration ,"
Economics Working Papers
2006,07, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!]
Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992.
"The Power of Cointegration Tests ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
Other versions: Alexakis, Panayotis & Apergis, Nicholas, 1994.
"The Feldstein-Horioka puzzle and exchange rate regimes: Evidence from cointegration tests ,"
Journal of Policy Modeling ,
Elsevier, vol. 16(5), pages 459-472, October.
[Downloadable!] (restricted)
Kenneth R. French & James M. Poterba, 1991.
"Investor Diversification and International Equity Markets ,"
NBER Working Papers
3609, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Johansen, Soren, 1992.
"Cointegration in partial systems and the efficiency of single-equation analysis ,"
Journal of Econometrics ,
Elsevier, vol. 52(3), pages 389-402, June.
[Downloadable!] (restricted)
Sinn, Stefan, 1992.
"Saving-Investment Correlations and Capital Mobility: On the Evidence from Annual Data ,"
Economic Journal ,
Royal Economic Society, vol. 102(414), pages 1162-70, September.
[Downloadable!] (restricted)
Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004.
"The Feldstein-Horioka puzzle is not as bad as you think ,"
Money Macro and Finance (MMF) Research Group Conference 2003
17, Money Macro and Finance Research Group.
[Downloadable!]
Johansen, Soren, 1991.
"Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models ,"
Econometrica ,
Econometric Society, vol. 59(6), pages 1551-80, November.
[Downloadable!] (restricted)
Harberger, Arnold C, 1980.
"Vignettes on the World Capital Market ,"
American Economic Review ,
American Economic Association, vol. 70(2), pages 331-37, May.
[Downloadable!] (restricted)
Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992.
"International Real Business Cycles ,"
Journal of Political Economy ,
University of Chicago Press, vol. 100(4), pages 745-75, August.
[Downloadable!] (restricted)
Other versions: Murphy, Robert G., 1984.
"Capital mobility and the relationship between saving and investment rates in OECD countries ,"
Journal of International Money and Finance ,
Elsevier, vol. 3(3), pages 327-342, December.
[Downloadable!] (restricted)
Miller, Stephen M., 1988.
"Are saving and investment co-integrated? ,"
Economics Letters ,
Elsevier, vol. 27(1), pages 31-34.
[Downloadable!] (restricted)
Swamy, P A V B, 1970.
"Efficient Inference in a Random Coefficient Regression Model ,"
Econometrica ,
Econometric Society, vol. 38(2), pages 311-23, March.
[Downloadable!] (restricted)
Florian Pelgrin & Sebastian Schich, 2004.
"National Saving-Investment Dynamics and International Capital Mobility ,"
Working Papers
04-14, Bank of Canada.
[Downloadable!]
Afxentiou, Panos & Serletis, Apostolos, 1993.
"International Capital Mobility and the Long-Run Investrnent and Saving in Canada ,"
Economia Internazionale / International Economics ,
Camera di Commercio di Genova, vol. 46(2-3), pages 147-167.
Amirkhalkhali, Saleh & Dar, Atul A, 1993.
"Testing for Capital Mobility: A Random Coefficients Approach ,"
Empirical Economics ,
Springer, vol. 18(3), pages 523-41.
Full
references 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.)
Rao, B. Bhaskara & Tamazian, Artur & Kumar, Saten, 2009.
"Systems GMM estimates of the Feldstein-Horioka puzzle for the OECD countries and tests for structural breaks ,"
MPRA Paper
15312, University Library of Munich, Germany.
[Downloadable!]
Kumar, Saten & Rao, B. Bhaskara, 2009.
"A Time Series Approach to the Feldstein-Horioka Puzzle with Panel Data from the OECD Countries ,"
MPRA Paper
18464, University Library of Munich, Germany.
[Downloadable!]
Access and
download statistics Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.
This page was last updated on 2010-1-1.
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 .