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 studied the Balassa-Samuelson effect in nine Central and East European countries and found that the productivity growth differential in the open sector leads to inflation in non-tradable goods.
192 citations
TL;DR: In this paper, the authors evaluated the causal relations between defense spending and economic growth in 62 developing countries and found that unidirectional causality was found in 23 countries, from either defense expenditures to economic growth or vice versa.
192 citations
TL;DR: In this article, the authors reveal the long run dynamics of biomass energy consumption and GDP growth through homogeneous and heterogeneous variance structures for G7 countries and confirm the growth hypothesis in which biomass consumption has positive effects on economic growth.
Abstract: The purpose of this paper is to reveal the long run dynamics of biomass energy consumption and GDP growth through homogeneous and heterogeneous variance structures for G7 countries. It covers annual data from 1980 to 2009. Panel unit root analyses, panel cointegration analyses, conventional OLS and dynamic OLS analyses are run throughout homogeneous and heterogeneous variance structures of the panel data to examine the relationship. The findings show that the long run elasticities of panel real GDP data in terms of panel capital stock, panel human capital index and panel biomass consumption are significant and positive. The results confirmed the growth hypothesis in which biomass energy consumption have positive effects on economic growth of G7 countries. As a policy implication, energy policies which improve the biomass energy infrastructure and biomass supply are the appropriate options for G7 countries since biomass energy consumption increases the economic growth.
192 citations
TL;DR: The need for a paradigm shift from fossil fuel sources to renewables is encouraged in the region and the need to embrace carbon storage and capturing techniques to decouple pollutant emissions from economic growth on the continent's growth trajectory is suggested.
191 citations
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TL;DR: In this article, the authors used vector autoregressive methods, and recent literature on cointegrated processes, to test the model and found that S behaves much like an optimal forecast of S* even though as earlier research has shown it is negatively correlated with next period's change in Y.
Abstract: In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model implies that S is proportional to the optimal forecast of S*, the present value of future changes in y. We use vector autoregressive methods, and recent literature on cointegrated processes, to test the model. When Y is the long-term interest rate and y the short-term interest rate, we find in postwar United States data that S behaves much like an optimal forecast of S* even though as earlier research has shown it is negatively correlated with next period's change in Y. When Y is a real stock price index and y the corresponding real dividend, using annual United States data for 1871-1986 we obtain less encouraging results for the model, although the results are sensitive to the assumed discount rate.
191 citations