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Vector autoregression, cointegration and causality: testing for causes of the British industrial revolution

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  • Les Oxley
  • David Greasley

Abstract

The existence, timing, and possible causes of the British industrial revolution are considered by investigating the time series properties of industrial production and various explanatory variables. Utilising two types of robust cointegration-based causality tests we argue that domestic forces, notably technological progress, shaped the industrial revolution, whereas overseas trade expansion was mainly a consequence of industrial growth. Results from Granger-type VAR tests are contrasted with those of Toda and Phillips (Working paper 91-07, University of Western Australia, 1991b), where the latter manifest some of the potential problems raised by the authors when applied to a data set of this type. An understanding of the possible causes of the first industrial revolution may shed more general light on the forces promoting industrialization and growth. To the extent that the first industrial revolution offers a template, exports appear not to provide a simple pathway to industrialization.

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  • Les Oxley & David Greasley, 1998. "Vector autoregression, cointegration and causality: testing for causes of the British industrial revolution," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1387-1397.
    • Handle: RePEc:taf:applec:v:30:y:1998:i:10:p:1387-1397
    DOI: 10.1080/000368498325002
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    References listed on IDEAS

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    1. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-1393, November.
    2. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study," Cowles Foundation Discussion Papers 1001, Cowles Foundation for Research in Economics, Yale University.
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