Publication: Exportaciones y Crecimiento en España (1980-2004):
Cointegración y Simulación de Montecarlo
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2006
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Instituto Complutense de Estudios Internacionales (ICEI)
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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.
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.
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.
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