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Article: I(0) In, integration and cointegration out: Time series properties of endogenous growth models

TitleI(0) In, integration and cointegration out: Time series properties of endogenous growth models
Authors
KeywordsCointegration
Source And Implications Of Endogenous Growth
Unit Roots
Issue Date1999
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom
Citation
Journal Of Econometrics, 1999, v. 93 n. 1, p. 1-24 How to Cite?
AbstractTo complement empirical growth studies applying unit root and cointegration methods, this paper shows that integration and cointegration properties arise intrinsically in stochastic endogenous growth models under fairly general conditions. It shows that a unit root has to be present in the autoregressive polynomial of the variables generated by an endogenous growth model, so as to produce steady-state growth in the absence of exogenous growth-generating element. This endogenous-growth-generating mechanism induces difference stationarity of the variables even though the external impulses are stationary, and it leads to the phenomenon of cointegration if the variables satisfy a state space representation. The 'unit root propagation mechanism' is the time series analogue of the 'constant returns' (to reproducible inputs) condition in the theoretical endogenous growth literature. The time series properties of endogenous growth models, when combined with their counterparts for exogenous growth models, lead to testable implications for distinguishing between these two classes of models. © 1999 Elsevier science S.A. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/177642
ISSN
2015 Impact Factor: 1.611
2015 SCImago Journal Rankings: 3.781
References

 

DC FieldValueLanguage
dc.contributor.authorLau, SHPen_US
dc.date.accessioned2012-12-19T09:39:24Z-
dc.date.available2012-12-19T09:39:24Z-
dc.date.issued1999en_US
dc.identifier.citationJournal Of Econometrics, 1999, v. 93 n. 1, p. 1-24en_US
dc.identifier.issn0304-4076en_US
dc.identifier.urihttp://hdl.handle.net/10722/177642-
dc.description.abstractTo complement empirical growth studies applying unit root and cointegration methods, this paper shows that integration and cointegration properties arise intrinsically in stochastic endogenous growth models under fairly general conditions. It shows that a unit root has to be present in the autoregressive polynomial of the variables generated by an endogenous growth model, so as to produce steady-state growth in the absence of exogenous growth-generating element. This endogenous-growth-generating mechanism induces difference stationarity of the variables even though the external impulses are stationary, and it leads to the phenomenon of cointegration if the variables satisfy a state space representation. The 'unit root propagation mechanism' is the time series analogue of the 'constant returns' (to reproducible inputs) condition in the theoretical endogenous growth literature. The time series properties of endogenous growth models, when combined with their counterparts for exogenous growth models, lead to testable implications for distinguishing between these two classes of models. © 1999 Elsevier science S.A. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconomen_US
dc.relation.ispartofJournal of Econometricsen_US
dc.subjectCointegrationen_US
dc.subjectSource And Implications Of Endogenous Growthen_US
dc.subjectUnit Rootsen_US
dc.titleI(0) In, integration and cointegration out: Time series properties of endogenous growth modelsen_US
dc.typeArticleen_US
dc.identifier.emailLau, SHP: laushp@hkucc.hku.hken_US
dc.identifier.authorityLau, SHP=rp01073en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0304-4076(98)00096-7-
dc.identifier.scopuseid_2-s2.0-0002800208en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0002800208&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume93en_US
dc.identifier.issue1en_US
dc.identifier.spage1en_US
dc.identifier.epage24en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridLau, SHP=7401596159en_US

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