Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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TL;DR: In this paper, the authors present a simple endogenous growth model which explicitly incorporates any positive (negative) externalities generated by additions to the foreign capital stock, and use cointegration analysis to estimate a dynamic labour productivity function for the 1960-95 period.
Abstract: This article addresses the important question of whether foreign direct investment enhances economic growth and labour productivity in Mexico, both from a theoretical and empirical perspective. After briefly reviewing the Mexican experience with net FDI inflows during the 1990s, the article presents a simple endogenous growth model which explicitly incorporates any positive (negative) externalities generated by additions to the foreign capital stock. Using cointegration analysis, the article estimates a dynamic labour productivity function for the 1960-95 period that includes the impact of the growth rate in the stocks of both private and foreign capital (as opposed to the flows) and the economically active population (EAP) (rather than the rate of population growth). The error correction model (ECM) estimates suggest that increases in both private ad (lagged) foreign investment spending, as well as the rate of growth in exports, have a positive and economically significant effect on the rate of labour pr...
172 citations
TL;DR: The authors examined the causal relationship between tax revenues and expenditures in the G7 countries using cointegration and error-correction methodology and found that bidirectional causality exists between government taxes and expenditures.
Abstract: The paper examines the causal relationship between tax revenues and expenditures in the G7 countries using cointegration and error-correction methodology. This statistical technique provides additional channels through which causality could emerge. The empirical results show that bidirectional causality exists between government taxes and expenditures in all countries except in Japan and Italy. For Japan and Italy, causality runs from government taxes to expenditures.
172 citations
TL;DR: In this article, the authors developed testing procedures for cointegration and seasonal co-integration for nonstationary time series which have unit roots at seasonal frequencies as well as at the zero frequency.
172 citations
TL;DR: The authors generalizes the cointegrated vector autoregressive model of Johansen to allow for structural changes and finds that structural changes in US term structure data coincide with large changes in the Fed's policy.
172 citations
TL;DR: In this paper, a present-value borrowing-constraint model for the U.S. federal government is presented and testable implications are derived for unit-root and cointegration tests with Monte Carlo studies.
Abstract: Testable implications are derived in a present-value borrowing-constraint model for the U.S. federal government. Critical values for unit-root and cointegration tests are calculated with Monte Carlo studies. Cointegration techniques are employed to determine whether the government has been involved in perpetual debt financing in recent years. The data reject this assertion.
171 citations