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Exportaciones y Crecimiento en España (1980-2004): Cointegración y Simulación de Montecarlo

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El trabajo analiza, para España, la posible existencia de cointegración y de causalidad tipo Granger, entre exportaciones y crecimiento, desde el primer trimestre de 1980 hasta el segundo trimestre de 2004. Se concluye que no se detecta una relación de cointegración ni una relación causal entre las variables indicadas, lo que contrasta con algunos estudios previos similares realizados en España. Para dar cuenta de esta discrepancia –que es también común en la literatura internacional- se han estudiado -empleando simulaciones de Montecarlo- algunos aspectos importantes, no suficientemente investigados hasta ahora en nuestro país: en concreto los referidas al modo de especificación de los componentes deterministas del MCE cuando se usa el método de Johansen. Sobre la base de estos análisis, se ha podido establecer la elevada dependencia de los resultados con respecto al tamaño muestral y a la correcta especificación de los citados componentes deterministas, así como la discutible fiabilidad del Principio de Pantula, sobre todo cuando se conjuga con tamaños muestrales inferiores a las 75 observaciones.

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File URL: http://eprints.sim.ucm.es/13443/1/WP03-06.pdf
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Paper provided by Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales in its series Working Papers del Instituto Complutense de Estudios Internacionales with number 0603.

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Length: 24 pages
Date of creation: 2006
Handle: RePEc:ucm:wpaper:0603
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