Generalized cointegration: a new concept with an application to health expenditure and health outcomes
We propose a new generalization of the concept of cointegration that allows for the possibility that a set of variables are involved in an unknown nonlinear relationship. Although these variables may be unit-root non-stationary, there exists a nonlinear combination of them that takes account of such non-stationarity. We then introduce an estimation technique that allows us to test for the presence of this generalized cointegration in the absence of knowledge as to the true nonlinear functional form and the full set of regressors. We outline the basic stages of the technique and discuss how the issue of unit-root non-stationarity and cointegration affects each stage of the estimation procedure. We then apply this technique to the relationship between health expenditure and health outcomes, which is an important but controversial issue. A number of studies have found very little or no relationship between the level of health expenditure and outcomes. In econometric terms, if there is such a relationship then there should exist a cointegrating relationship between these two variables and possibly many others. The problem that arises is that we may be either unable to measure these other variables or that we do not know about them, in which case we may incorrectly find no relationship between health expenditures and outcomes. We then apply the concept of generalized cointegration; we obtain a highly significant relationship between health expenditure and health outcomes.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 42 (2012)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/econometrics/journal/181/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- P. Swamy & George Tavlas, 2007.
"The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 293-306, May.
- George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece.
- Swamy, P. A. V. B. & Tinsley, P. A., 1980.
"Linear prediction and estimation methods for regression models with stationary stochastic coefficients,"
Journal of Econometrics,
Elsevier, vol. 12(2), pages 103-142, February.
- P. A. V. B. Swamy & Peter A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
- Charles I. Jones, 2005. "More life vs. more goods: explaining rising health expenditures," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue may27.
- Katherine Baicker & Amitabh Chandra, 2004. "The Productivity of Physician Specialization: Evidence from the Medicare Program," American Economic Review, American Economic Association, vol. 94(2), pages 357-361, May.
- Robert E. Hall & Charles I. Jones, 2007. "The Value of Life and the Rise in Health Spending," The Quarterly Journal of Economics, Oxford University Press, vol. 122(1), pages 39-72.
- Zellner, A., 1988.
"Causality And Causal Laws In Economics,"
m8801, Southern California - Department of Economics.
- Alan M. Garber & Jonathan Skinner, 2008.
"Is American Health Care Uniquely Inefficient?,"
Journal of Economic Perspectives,
American Economic Association, vol. 22(4), pages 27-50, Fall.
- Swamy P. A. V. B. & Tavlas George S & Hall Stephen G. F. & Hondroyiannis George, 2010.
"Estimation of Parameters in the Presence of Model Misspecification and Measurement Error,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 14(3), pages 1-35, May.
- P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall & George Hondroyiannis, 2008. "Estimation of Parameters in the Presence of Model misspecification and Measurement Error," Discussion Papers in Economics 08/27, Department of Economics, University of Leicester.
- Swamy, P.A.V.B. & Yaghi, Wisam & Mehta, Jatinder S. & Chang, I-Lok, 2007. "Empirical best linear unbiased prediction in misspecified and improved panel data models with an application to gasoline demand," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3381-3392, April.
- Badi H. Baltagi & Francesco Moscone, 2010.
"Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data,"
Center for Policy Research Working Papers
120, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H. & Moscone, Francesco, 2010. "Health care expenditure and income in the OECD reconsidered: Evidence from panel data," Economic Modelling, Elsevier, vol. 27(4), pages 804-811, July.
- Baltagi, Badi H. & Moscone, Francesco, 2010. "Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data," IZA Discussion Papers 4851, Institute for the Study of Labor (IZA).
- Badi H. Baltagi & Francesco Moscone, 2009. "Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data," Discussion Papers in Economics 09/5, Department of Economics, University of Leicester.
- Zellner, Arnold, 1979. "Causality and econometrics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 9-54, January.
- Jonathan Skinner & Douglas Staiger, 2009. "Technology Diffusion and Productivity Growth in Health Care," NBER Working Papers 14865, National Bureau of Economic Research, Inc.
- I-Lok Chang & P.A.V.B. Swamy & Charles Hallahan & George S. Tavlas, 2000. "A Computational Approach to Finding Causal Economic Laws," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 105-136, October.
- Basmann, R. L., 1988. "Causality tests and observationally equivalent representations of econometric models," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 69-104.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:42:y:2012:i:2:p:603-618. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.