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Tests de G-causalité et spécification d’un modèle économétrique: Application sur un panel sectoriel marocain
[G-causality tests and specification of an econometric model: Evidence form Sectoral Moroccan panel]

Author

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  • Ghassan, Hassan B.
  • ElHafidi, Miloud

Abstract

The paper aims to use the Granger causality to deduce the structure of recursive model. Manipulating data from five sectors of Moroccan economy we form causal chain between endogenous variables to build a recursive system. The findings exhibit two group, the first one consists of agriculture, agro-industry and manufacturing sectors where the investment effort determines the balance trade and influences the cash-flow level. Meanwhile, in the second group formed by energy and mines sectors, the balance trade determines the investment effort and influences the cash-flow. The Granger causality justifies the modeling of the system. But, we cannot avoid ex-post the causality and exogeneity tests for the predetermined endogenous variables as Hausman and Holly tests. There tests are running once the model is estimated.

Suggested Citation

  • Ghassan, Hassan B. & ElHafidi, Miloud, 1999. "Tests de G-causalité et spécification d’un modèle économétrique: Application sur un panel sectoriel marocain [G-causality tests and specification of an econometric model: Evidence form Sectoral Mor," MPRA Paper 56433, University Library of Munich, Germany, revised 13 Jan 2000.
    • Handle: RePEc:pra:mprapa:56433
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    G-Causality; Holly Exogeneity Test; Specification; Sectorial; Morocco.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • L2 - Industrial Organization - - Firm Objectives, Organization, and Behavior

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