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The Q theory of investment under unit root tests

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  • Croix, David de la
  • Licandro, Omar

Abstract

We test a q investment model for Belgium using a multivariate cointegration approach. The introduccion of the degree of capacity utilization duc, in addition to investment and average q, is necessary to determine the cointegration space. This support the idea that marginal q differs from average q by a factor which is a function of duc, as suggested by Licandro(1992).

Suggested Citation

  • Croix, David de la & Licandro, Omar, 1992. "The Q theory of investment under unit root tests," UC3M Working papers. Economics 2819, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2819
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    References listed on IDEAS

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    1. repec:adr:anecst:y:1992:i:27:p:04 is not listed on IDEAS
    2. Omar Licandro, 1992. "Investment Dynamics and Capacity Utilization under Monopolistic Competition," Annals of Economics and Statistics, GENES, issue 27, pages 91-113.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Abel, Andrew B & Blanchard, Olivier J, 1986. "The Present Value of Profits and Cyclical Movements in Investment," Econometrica, Econometric Society, vol. 54(2), pages 249-273, March.
    5. Edmond Malinvaud, 1987. "Capital productif, incertitudes et profitabilité," Annals of Economics and Statistics, GENES, issue 5, pages 1-36.
    6. repec:adr:anecst:y:1987:i:5:p:01 is not listed on IDEAS
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    8. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    9. Hayashi, Fumio, 1982. "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, Econometric Society, vol. 50(1), pages 213-224, January.
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    Cited by:

    1. Verschueren, Frederic, 2000. "Co-integration inference in the value-profit relation and investment models," Economics Letters, Elsevier, vol. 69(3), pages 289-297, December.

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    Keywords

    Cointegration Tests;

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