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Testing the Long Run Effect of Investment on Output in the Presence of Cointegration

Author

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  • Lau, S.H.P.

Abstract

A major empirical interest is whether a permanent change in economic fundamentals produces a growth effect. However, a direct time series analysis of this hypothesis may not always be feasible due to a lack of such events. This paper explains why a test regarding the long run effect of a temporary change in investment share may, under appropriate conditions, provide indirectly the answer regarding the effect of a (possibly hypothetical) permanent change in investment share.

Suggested Citation

  • Lau, S.H.P., 1996. "Testing the Long Run Effect of Investment on Output in the Presence of Cointegration," Papers 304, Australian National University - Department of Economics.
    • Handle: RePEc:fth:aunaec:304
    as

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    More about this item

    Keywords

    INVESTMENTS; TESTS;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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