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Causalidad y cointegracion en modelos econometricos: Aplicaciones a los paises de la OCDE y limitaciones de los tests de cointegracion

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  • Guisan, M.Carmen

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Abstract

En este documento se analizan las limitaciones del analisis de cointegracion para la determinacion del caracter causal o espurio de las relaciones economicas. La aplicacion habitual de este enfoque lleva, con frecuencia, a considerar como espurias relaciones que son causales y, ademas, no siempre evita el peligro de considerar como no espurias relaciones que si lo son. Se efectua una aplicacion a la relacion entre Consumo y el PIB en 25 paises de la OCDE, la cual confirma las limitaciones de dicho enfoque. Documentos de la autora en ingles, relacionados con este tema son Guisan(2001a) y (2003), citados en la bibliografia. A general review of cointegration is presented in this paper, emphasizing the limitations of this approach, as the usual application very often leads to declare as spurious many important causal relations, and besides that it does not always avoid the peril of accepting as causal relations that really are spurious. The application to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries confirms the limitations of the usual approach to cointegration. Related papers in English, also downloadable, are Guisan(2001a) and (2003), cited in the bibliography.

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Bibliographic Info

Paper provided by University of Santiago de Compostela. Faculty of Economics and Business. Econometrics. in its series Economic Development with number 61.

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Length: 47 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:eaa:ecodev:61

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  1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  2. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  4. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  5. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
  6. Guisan, M.Carmen, 2001. "Causality and Cointegration between Consumption and GDP in 25 OECD countries: limitations of cointegration approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 1(1), pages 39-61.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  8. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
  9. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  10. Amemiya, Takeshi, 1980. "Selection of Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 331-54, June.
  11. Pesaran, M. Hashem & Shin, Y. & Smith, R.J., 1999. "Bounds Testing Approaches to the Analysis of Long-run Relationships," Cambridge Working Papers in Economics 9907, Faculty of Economics, University of Cambridge.
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