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Exportled growth: a survey of the empirical literature and some noncausality results part 2
 JOURNAL OF INTERNATIONAL TRADE AND ECONOMIC DEVELOPMENT, FORTHCOMING
, 2000
"... This paper continues the investigation of Giles and Williams (2000) on exportled growth (ELG). In the first part, we surveyed the empirical exportled growth literature; it was evident that Granger noncausality tests are commonly applied as a test for ELG. In this paper, we explore the sensitivity ..."
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This paper continues the investigation of Giles and Williams (2000) on exportled growth (ELG). In the first part, we surveyed the empirical exportled growth literature; it was evident that Granger noncausality tests are commonly applied as a test for ELG. In this paper, we explore the sensitivity of the test for exclusions restrictions often used as the Granger noncauality test for ELG by reconsidering two applications: Oxley’s (1993) study for Portugal and Henriques and Sadorsky’s (1996) analysis for Canada. We focus on robustness to the method adopted to deal with nonstationarity, including the choice of deterministic trend degree. We show that different noncausality outcomes are easy to obtain, and consequently we recommend that readers interpret the empirical ELG literature with care. Our analysis also highlights the importance of examining the robustness of Granger noncauality test results to avoid spurious outcomes in applications.
Impulse response and forecast error variance asymptotics in nonstationary VARs
 Journal of Econometrics
, 1998
"... are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has ac ..."
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Cited by 60 (0 self)
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are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has access to such unpublished material) should be cleared with the author to
SingleEquation Estimation of the Equilibrium Real Exchange Rate
 Exchange Rate Misalignment: Concepts and Measurement for Developing Countries
, 1999
"... ABSTRACT: Estimating the degree of exchange rate misalignment remains one of the most challenging empirical problems in openeconomy. A fundamental difficulty is that the equilibrium value of the real exchange rate is not observable. Standard theory tells us, however, that the equilibrium real excha ..."
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Cited by 37 (6 self)
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ABSTRACT: Estimating the degree of exchange rate misalignment remains one of the most challenging empirical problems in openeconomy. A fundamental difficulty is that the equilibrium value of the real exchange rate is not observable. Standard theory tells us, however, that the equilibrium real exchange rate is a function of observable macroeconomic variables, and that the actual real exchange rate approaches the equilibrium rate over time. A recent strand of the empirical literature exploits these observations to develop a singleequation approach to estimating the equilibrium real exchange rate. Drawing on this earlier work, we outline an econometric methodology for estimating both the equilibrium real exchange rate and the degree of misalignment and illustrate the methodology using annual data from Côte d'Ivoire and Burkina Faso. We are grateful to Chris Adam, Neil Ericsson, Philip Jefferson, and Luis Serven for helpful advice, to Peter Montiel for very thorough comments on an earlier draft, and to Ingrid Ivins for assistance with data. Larry Hinkle provided invaluable comments and advice throughout and constructed the counterfactual simulations for Côte d'Ivoire and Burkina Faso. All errors are our own responsibility. Contents 1.
A Review of Systems Cointegration Tests
, 1998
"... The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, te ..."
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Cited by 18 (3 self)
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The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the StockWatson tests and Bierens' nonparametric tests. Asymptotic results regarding the power of these tests and previous small sample simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered briefly. New simulations are presented to compare the tests under uniform conditions. Special emphasis is given to the sensitivity of the test performance with respect to the trending properties of the DGP. Keywords: systems cointegration tests, LR tests, nonparametric tests, asymptotic power, small sample simulations 1 We are grateful to Christian Muller for helping with the computations and ...
Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors. Econometric Theory 25
, 2009
"... An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form ρni = 1+ci /n α, involving moderate deviations from unity when α ∈ (0,1) and ci ∈ R are ..."
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Cited by 18 (11 self)
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An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form ρni = 1+ci /n α, involving moderate deviations from unity when α ∈ (0,1) and ci ∈ R are constant parameters. When the data are moderately integrated in the stationary direction (with ci < 0), it is shown that least squares regression is consistent and asymptotically normal but suffers from significant bias, related to simultaneous equations bias. In the moderately explosive case (where ci> 0) the limit theory is mixed normal with Cauchytype tail behavior, and the rate of convergence is explosive, as in the case of a moderately explosive scalar autoregression (Phillips and Magdalinos, 2007, Journal of Econometrics 136, 115–130). Moreover, the limit theory applies without any distributional assumptions and for weakly dependent errors under conventional moment conditions, so an invariance principle holds, unlike the wellknown case of an explosive autoregression. This theory validates inference in cointegrating regression with mildly explosive regressors. The special case in which the regressors themselves have a common explosive component is also considered. 1.
Semiparametric cointegrating rank selection
, 2008
"... Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of ..."
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Cited by 11 (5 self)
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Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient Cn! 1 and Cn=n! 0 as n! 1: The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on finite sample performance of the criterion are reported.
A Comparison of Some Common Methods for Detecting Granger Noncausality
 Journal of Statistical Computation and Simulation
, 2006
"... We compare testing strategies for Granger noncausality in vector autoregressions (VARs) that may or may not have unit roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced VAR or a vector error correction model (VECM), in which to ..."
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Cited by 11 (1 self)
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We compare testing strategies for Granger noncausality in vector autoregressions (VARs) that may or may not have unit roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced VAR or a vector error correction model (VECM), in which to undertake the main noncausality test. Basically, these strategies attempt to verify the validity of appropriate standard limit theory. We contrast such methods with an augmented lag approach that ensures the limiting χ2 null distribution irrespective of the data’s nonstationarity characteristics. Our simulations involve bivariate and trivariate VARs in which we allow for the lag order to be selected by general to specific testing and by model selection criteria. We find that the practice of pretesting for cointegration can result in severe overrejections of the noncausal null, whereas overfitting results in better control of the Type I error probability with often little loss in power.
Import prices and pricingtomarket effects in the euro area. European Central Bank Working Paper No
, 2004
"... In 2004 all ECB publications will feature a motif taken from the €100 banknote. This paper can be downloaded without charge from ..."
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Cited by 8 (0 self)
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In 2004 all ECB publications will feature a motif taken from the €100 banknote. This paper can be downloaded without charge from
Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
, 2006
"... In this paper, we analytically investigate three efficient estimators for cointegrating ..."
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Cited by 6 (0 self)
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In this paper, we analytically investigate three efficient estimators for cointegrating
Unemployment and finance: how do financial and labour market factors interact?’, CESIfo Working Paper 2901
, 2011
"... Unemployment and finance: how do financial and labour market factors interact? Donatella Gatti∗and AnneGaël Vaubourg† Résumé A partir d’un échantillon de 18 pays de l’OCDE pour la période 19802004, nous analysons de quelle manière les interactions entre institutions du marche ́ du travail et ..."
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Cited by 5 (3 self)
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Unemployment and finance: how do financial and labour market factors interact? Donatella Gatti∗and AnneGaël Vaubourg† Résumé A partir d’un échantillon de 18 pays de l’OCDE pour la période 19802004, nous analysons de quelle manière les interactions entre institutions du marche ́ du travail et structure du système financier déterminent le niveau du chômage. Nous montrons que l’impact des variables financières dépend fortement de la structure du marche ́ du travail. L’accroissement de la capitalisation et la réduction de la concentration bancaire ne réduisent le taux de chômage que si le niveau de réglementation du marche ́ du travail, la densite ́ syndicale et le degre ́ de coordination des négociations salariales sont faibles. L’augmentation du recours au crédit intermédie ́ accrôıt le chômage lorsque le marche ́ du travail est faiblement réglemente ́ et coordonne ́ ; il le réduit dans le cas contraire. Ces résultats suggèrent que les vertus respectives du financement de marche ́ et du financement bancaire sont étroitement liées a ̀ la structure des institutions sur le marche ́ du travail.