Multivariate cointegration analysis of aggregate exports: empirical evidence for the United States, Canada, and Germany
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Kiel
Inst. für Weltwirtschaft
2002
|
| Series: | Kieler Arbeitspapiere
1101 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 156 S. |
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MARC
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Record in the Search Index
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| adam_text | Contents
1. The Estimation of Aggregate Exports: Question Marks in a
Seemingly Explored Field 1
2. The Theoretical Determinants of Aggregate Export Demand
and SuddIv 5
3. Time Series Used for Estimation 10
4. Unit Root and Stationarity Tests for Detecting the Order of
Integration 21
4.1. The Augmented Dickey Fuller Test 22
4.1.1. Idea and specification issues 22
4.1.2. Results 29
4.2. The KPSS test for stationarity 34
4.2.1. Idea and specification issues 34
4.2.2. Results 38
4.3. Synopsis of Results from ADF and KPSS tests : 43
4.4. A Multivariate Test for Stationarity 45
5. The Long Run Structure of the Aggregate Export System 49
5.1. The VECM As a Suitable Type of Empirical Model 49
5.2. Deterministic Elements, Lag Length, and Dummy Variables
of the VECM 53
5.2.1. Deterministic Elements 53
5.2.2. The Appropriate Lag Length of the VECM and Necessary
Impulse Dummy Variables 55
5.3. The Number of Cointegration Relationships in the System 65
5.3.1 Johansen s Trace and kmax Tests 66
5.3.2 Results from Johansen s Rank Tests 68
5.3.3. The Roots of the Companion Matrix 72
5.3.4. Conclusions for the Number of Cointegration Relation¬
ships 75
I
II
5.4. Identifying the Long Run Relationships: Problem and Strategy.... 76
5.4.1. The Identification Problem Applied to the Example of
Aggregate Exports 77
5.4.2. The Identifying Restriction for the Demand Vector 83
5.4.3. The Identifying Restriction for the Supply Vector 84
5.5. Finding the Structural Long Run Relations 86
5.6. Testing For Over Identifying Restrictions in the Cointegrating
Vectors and for Weak Exogeneity 91
5.6.1. Presentation of the Test Results 92
5.6.2. The Just Identified Cointegrating Vectors 96
5.6.3. Over Identifying Restrictions on Cointegrating
Vectors (0) 97
5.6.4. The Loading Coefficients as An Indication of How
Disequilibria Are Corrected 102
5.6.5. The Concept of Weak Exogeneity 106
5.6.6. Testing for Weak Exogeneity in the Aggregate Export
System 108
5.6.7. Appendix to Sub Section 5.6.: Detailed Estimation and
Test Results for the United States, Canada, and Germany. Ill
5.7. Alternative Identification and Specification 124
5.7.1. United States 124
5.7.2. Canada 126
6. Estimation of the Partial Models 132
7. Summary Remarks 144
References 150
|
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| indexdate | 2024-07-09T19:01:46Z |
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| physical | 156 S. |
| publishDate | 2002 |
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| series2 | Kieler Arbeitspapiere |
| spelling | Strauß, Hubert Verfasser aut Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany by Hubert Strauß Kiel Inst. für Weltwirtschaft 2002 156 S. txt rdacontent n rdamedia nc rdacarrier Kieler Arbeitspapiere 1101 Kieler Arbeitspapiere 1101 (DE-604)BV000000922 1101 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009829085&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Strauß, Hubert Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany Kieler Arbeitspapiere |
| title | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany |
| title_auth | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany |
| title_exact_search | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany |
| title_full | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany by Hubert Strauß |
| title_fullStr | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany by Hubert Strauß |
| title_full_unstemmed | Multivariate cointegration analysis of aggregate exports empirical evidence for the United States, Canada, and Germany by Hubert Strauß |
| title_short | Multivariate cointegration analysis of aggregate exports |
| title_sort | multivariate cointegration analysis of aggregate exports empirical evidence for the united states canada and germany |
| title_sub | empirical evidence for the United States, Canada, and Germany |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009829085&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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