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Exportaciones y Crecimiento en España (1980-2004): Cointegración y Simulación de Montecarlo

Donoso, Vicente and Martín Barroso, Victor (2006) Exportaciones y Crecimiento en España (1980-2004): Cointegración y Simulación de Montecarlo. [Working Paper or Technical Report]

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Abstract

El trabajo analiza, para España, la posible existencia de cointegración y de causalidad tipo
Granger, entre exportaciones y crecimiento, desde el primer trimestre de 1980 hasta el segundo
trimestre de 2004. Se concluye que no se detecta una relación de cointegración ni
una relación causal entre las variables indicadas, lo que contrasta con algunos estudios
previos similares realizados en España. Para dar cuenta de esta discrepancia –que es también
común en la literatura internacional- se han estudiado -empleando simulaciones de
Montecarlo- algunos aspectos importantes, no suficientemente investigados hasta ahora en
nuestro país: en concreto los referidas al modo de especificación de los componentes deterministas
del MCE cuando se usa el método de Johansen. Sobre la base de estos análisis,
se ha podido establecer la elevada dependencia de los resultados con respecto al tamaño
muestral y a la correcta especificación de los citados componentes deterministas, así como
la discutible fiabilidad del Principio de Pantula, sobre todo cuando se conjuga con tamaños
muestrales inferiores a las 75 observaciones.
Abstract
This document analyses the possible existence of co-integration and Granger causality between
exports and growth for Spain since the first quarter 1980 till second quarter 2004. It
finds neither relationship nor causality between above mentioned variables, in contrast
with previous studies done in Spain. In order to show this finding some important aspects,
insufficiently studied, have been analysed by employing Monte Carlo simulations: specially
the specification of the deterministic components of a VECH estimated with the Johansen’s
multivariate maximum likelihood approach. On the basis of these analysis, it can be
established the high dependency relationship of the results relating to the sample size and
to the correct specification of the deterministic components as well as the debatable reliability
of Pantula’s Principle, specially when combined with samples below 75 observations.

Item Type:Working Paper or Technical Report
Additional Information:Clasificación JEL: F13, F43.
Uncontrolled Keywords:Crecimiento, Exportaciones, Cointegración, Causalidad de Granger, simulación de Montecarlo, Principio de Pantula, Growth, Exports, Cointegration, Grenger´s Causality, Monte Carlo Simulation, Pantula´s Principle.
Subjects:Social sciences > Economics > Macroeconomics
Series Name:Working Papers del ICEI
Volume:UNSPECIFIED
Number:03/06
ID Code:13443
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