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Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany

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  • Hubert Strauß
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    Abstract

    A shortcoming of most empirical studies on aggregate exports is their exclusive focus on the demand side. Moreover, the effect of globalization is often neglected leading to implausibly high income elasticities. This paper models export demand and supply simultaneously and incorporates a new proxy for globalization. Owing to the non-stationarity of the data, the vector error correction model is the appropriate econometric framework. Using the Johansen procedure, two cointegration relationships are found and identified as export supply and demand. Overidentifying restrictions derived from economic theory are tested. Finally, after checking for weak exogeneity, a parsimonious partial model is presented and the adjustment paths of the endogenous variables are discussed.

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    File URL: https://www.ifw-members.ifw-kiel.de/publications/multivariate-cointegration-analysis-of-aggregate-exports-empirical-evidence-for-the-united-states-canada-and-germany/kap1101.pdf
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    Bibliographic Info

    Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1101.

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    Length: 156 pages
    Date of creation: Mar 2002
    Date of revision:
    Handle: RePEc:kie:kieliw:1101

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    Keywords: cointegration analysis; Johansen procedure; export demand and supply; trade elasticities;

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    Cited by:
    1. Shigeyuki Hamori & Yoichi Matsubayashi, 2009. "Empirical analysis of export demand behavior of LDCs: Panel cointegration approach," Economics Bulletin, AccessEcon, vol. 29(3), pages 1990-1999.

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