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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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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
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Handle: RePEc:eaa:ecodev:61

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Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
F0 - International Economics - - General
O51 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
O52 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Europe

References listed on IDEAS
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  1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  3. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
    Other versions:
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis. [Downloadable!]
  8. 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. [Downloadable!]
  9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
  10. 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. [Downloadable!]
    Other versions:
  11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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