Structural Breaks in Public Infrastructure Investment in the U.S
This paper investigates the possible existence and timing of structural breaks in public infrastructure investment in the US. Results are obtained using both the conventional Chow tests as well as the multivariate Bai, Lumsdaine and Stock tests which are more appropriate for finding breaks in the context of a VAR structure. All tests consider aggregate public investment as well as nine different disaggregated categories of public investment. In addition, multivariate tests include private output, employment, and investment, the variables usually considered in the literature. Empirical results suggest that a break in the mean of public investment occurred in the late 1970s or early 1980s. This is true at the aggregate level as well as for most types of public infrastructures. The measurement of the economic effects of public investment is a critical piece of information to understand the effects of any fiscal stimulus package. The empirical evidence in the literature is somewhat inconclusive at least partially because structural breaks have been largely ignored. We regard the evidence presented in this paper as the first step in the process of revisiting the analysis of the effects of such investments in a VAR framework while accounting for the presence of structural breaks.
|Date of creation:||24 Aug 2007|
|Contact details of provider:|| Postal: P.O. Box 8795, Williamsburg, VA 23187-8795|
Phone: (757) 221-4311
Fax: (757) 221-2390
Web page: http://www.wm.edu/economics/
More information through EDIRC
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.:
- Serena Ng & Timothy Vogelsang, 2002.
"Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean,"
Taylor & Francis Journals, vol. 21(3), pages 353-381.
- Serena Ng & Timothy J. Vogelsang, 1997. "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," Boston College Working Papers in Economics 379, Boston College Department of Economics.
- Christophe Kamps, 2005.
"The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries,"
International Tax and Public Finance,
Springer;International Institute of Public Finance, vol. 12(4), pages 533-558, August.
- Kamps, Christophe, 2004. "The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries," Kiel Working Papers 1224, Kiel Institute for the World Economy (IfW).
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 395-432.
- Alfredo Pereira & Jorge Andraz, 2004. "Public highway spending and state spillovers in the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 785-788. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:cwm:wpaper:55. 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: (Daifeng He)or (Alfredo Pereira)
If references are entirely missing, you can add them using this form.