An Alternative Perspective on Tobin's Q and Aggregate Investment Expenditure
This study provides new evidence on the relationship between Tobin's Q and private investment. Using a testing procedure advocated by Bierens applied to US data, both series are found to be stationary around a nonlinear deterministic trend and are co-trended insofar as they share a common nonlinear deterministic trend.
Volume (Year): 9 (2010)
Issue (Month): 1 (April)
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- Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
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- Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
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- Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper 1995-123, Tilburg University, Center for Economic Research.
- Simon Price & Christoph Schleicher, 2005. "Returns To Equity, Investment And Q: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(s1), pages 32-57, 09. Full references (including those not matched with items on IDEAS)
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