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International Migration to Germany: Estimation of a Time-Series Model and Inference in Panel Cointegration

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Author Info

  • Herbert Brücker
  • Boriss Siliverstovs
  • Parvati Trübswetter

Abstract

In this paper we study the determinants of international migration to Germany, 1967-2000. The empirical literature on macro-economic migration functions usually explains migration flows by a set of explanatory variables such as the income differential, employment rates, and migrations stocks as in Hatton (1995), for example. Since macroeconomic variables are widely acknowledged as nonstationary, the standard model in the migration literature can only meet the requirements of modern non-stationary time-series econometrics if migrations flows and the explanatory variables are integrated of the same order and if these variables form a cointegrated set. In order to prove whether the standard specification is compatible with our data, we use the univariate Augmented Dickey-Fuller test as well as its panel data version, developed in Im, Pesaran, and Shin (2003), to test for unit roots in the time series. The tests demonstrate that migration rates are stationary, while the remaining explanatory variables follow I(1) processes. Consequently, we suggest an alternative specification of the long-run migration function with migration stocks as the dependent variable. For this specification, we find that all variables are I(1) processes, and that the null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The parameter inference in the cointegrating regressions is conducted using the method of canonical cointegrating regressions of Park (1992). Our empirical findings generally agree with predictions of migration theory.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.41106.de/dp391.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 391.

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Length: 17 p.
Date of creation: 2003
Date of revision:
Handle: RePEc:diw:diwwpp:dp391

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Related research

Keywords: Migration; unit roots; panel cointegration;

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References

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  1. Burda,M.C., 1995. "Migration and the Option Value of Waiting," Papers 597, Stockholm - International Economic Studies.
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  3. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  4. Faini, Riccardo & Venturini, Alessandra, 1994. "Migration and Growth: The Experience of Southern Europe," CEPR Discussion Papers 964, C.E.P.R. Discussion Papers.
  5. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  7. Papell, David H., 1997. "Searching for stationarity: Purchasing power parity under the current float," Journal of International Economics, Elsevier, vol. 43(3-4), pages 313-332, November.
  8. repec:wop:humbsf:1995-58 is not listed on IDEAS
  9. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
  10. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
  11. Greenwood, Michael J, 1975. "Research on Internal Migration in the United States: A Survey," Journal of Economic Literature, American Economic Association, vol. 13(2), pages 397-433, June.
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Citations

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Cited by:
  1. Anna Maria Mayda, 2007. "International migration: A panel data analysis of the determinants of bilateral flows," CReAM Discussion Paper Series 0707, Centre for Research and Analysis of Migration (CReAM), Department of Economics, University College London.
  2. Stefano Fachin, 2007. "Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 401-428.
  3. Dan-Olof Rooth, 2007. "Implicit Discrimination in Hiring – Real World Evidence," CReAM Discussion Paper Series 0705, Centre for Research and Analysis of Migration (CReAM), Department of Economics, University College London.

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