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 article, the authors propose and test new definitions of convergence and common trends for per capita output for 15 OECD economies, using century-long time series for 15 economies, and find substantial evidence for common trends.
Abstract: SUMMARY This paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country has identical long-run trends, either stochastic or deterministic, while common trends allow for proportionality of the stochastic elements. These definitions lead naturally to the use of cointegration techniques in testing. Using centurylong time series for 15 OECD economies, we reject convergence but find substantial evidence for common trends. Smaller samples of European countries also reject convergence but are driven by a lower number of common stochastic trends.
1,181 citations
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TL;DR: This article used a long-run restriction implied by a large class of real-business-cycle models to identify permanent productivity shocks as shocks to the common stochastic trend in output, consumption, and investment.
Abstract: Are business cycles mainly the result of permanent shocks to productivity? This paper uses a long-run restriction implied by a large class of real-business-cycle models--identifying permanent productivity shocks as shocks to the common stochastic trend in output, consumption, and investment--to provide new evidence on this question. Econometric tests indicate that this common-stochastic-trend/cointegration implication is consistent with postwar U.S. data. However, in systems with nominal variables, the estimates of this common stochastic trend indicate that permanent productivity shocks typically explain less than half of the business-cycle variability in output, consumption, and investment. Copyright 1991 by American Economic Association.
1,140 citations
TL;DR: In this paper, the relationship between renewable energy consumption and economic growth for a panel of twenty OECD countries over the period 1985-2005 within a multivariate framework was examined, where a panel cointegration and error correction model was employed to infer the causal relationship.
1,096 citations
TL;DR: In this paper, the authors examined the long-run relationship between carbon emissions and energy consumption, income and foreign trade in the case of China by employing time series data of 1975-2005.
1,054 citations
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01 Jan 2006TL;DR: In this paper, a model and relations in economics and economics and Econometrics are discussed. But the authors focus on the Cointegration rank and do not discuss the relationship between the model and the model.
Abstract: BRIDGING ECONOMICS AND ECONOMETRICS 1 Introduction 2 Models and Relations in Economics and Econometrics 3 The Probability Approach in Econometrics and the VAR SPECIFYING THE VAR MODEL 4 The Unrestricted VAR 5 The Cointegrated VAR Model 6 Deterministic Components in the I(1) Model 7 Estimation in the I(1) Model 8 Determination of Cointegration Rank TESTING HYPOTHESES ON COINTEGRATION 9 Recursive Tests of Constancy 10 Testing Restrictions on Beta 11 Testing Restrictions on Alpha IDENTIFICATION 12 Identification of the Long-Run Structure 13 Identification of the Short-Run Structure 14 Identification of Common Trends 15 Identification of a Structural MA Model THE I(2) MODEL 16 Analyzing I(2) Data with the I(1) Model 17 The I(2) Model: specification and estimation 18 Testing Hypotheses in the I(2) Model A METHODOLOGICAL APPROACH 19 Specific-to-General and General-to-Specific 20 Wage, Price, and Unemployment Dynamics 21 Foreign Transmission Effects: Denmark versus Germany 22 Collecting the Threads Appendix A: The Asymptotic Tables for Cointegration Rank
1,020 citations