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A Sequential Panel Selection Approach to Cointegration Analysis: An Application to Wagner’s Law for South African Provincial Data

Author

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  • Xolisa Vayi

    () (Department of Economics, Nelson Mandela University, Port Elizabeth, South Africa)

  • Andrew Phiri

    () (Department of Economics, Nelson Mandela University, Port Elizabeth, South Africa)

Abstract

The main aim of this study is to extend the recently introduced sequential panel selection method (SPSM) to a cointegration framework which is particularly used to investigate Wagner’s law for 9 South African provinces. We particularly apply the SPSM to the PMG and ARDL cointegration frameworks which we apply to annual data spanning from 2001 to 2016. The main findings show that when applying single country/region estimates we fail to find evidence of cointegration whereas within panel regressions, cointegration effects are present for theentire dataset. In further applying the SPSM we observed significant Wagner’s effects for panels inclusive of Gauteng, Eastern Cape and Kwazulu-Natal provinces and when these provinces are excluded from the panels, cointegration effects are unobserved.

Suggested Citation

  • Xolisa Vayi & Andrew Phiri, 2018. "A Sequential Panel Selection Approach to Cointegration Analysis: An Application to Wagner’s Law for South African Provincial Data," Economic Research Guardian, Weissberg Publishing, vol. 8(1), pages 25-39, June.
  • Handle: RePEc:wei:journl:v:8:y:2018:i:1:p:25-39
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Sequential Panel selection method (SPSM); Cointegration; Wagner’s law; Provincial analysis; South Africa;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • H70 - Public Economics - - State and Local Government; Intergovernmental Relations - - - General

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