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Causalidad y cointegracion en modelos econometricos: Aplicaciones a los paises de la OCDE y limitaciones de los tests de cointegracion

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  • Guisan, M.Carmen

Abstract

En este documento se analizan las limitaciones del analisis de cointegracion para la determinacion del caracter causal o espurio de las relaciones economicas. La aplicacion habitual de este enfoque lleva, con frecuencia, a considerar como espurias relaciones que son causales y, ademas, no siempre evita el peligro de considerar como no espurias relaciones que si lo son. Se efectua una aplicacion a la relacion entre Consumo y el PIB en 25 paises de la OCDE, la cual confirma las limitaciones de dicho enfoque. Documentos de la autora en ingles, relacionados con este tema son Guisan(2001a) y (2003), citados en la bibliografia. A general review of cointegration is presented in this paper, emphasizing the limitations of this approach, as the usual application very often leads to declare as spurious many important causal relations, and besides that it does not always avoid the peril of accepting as causal relations that really are spurious. The application to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries confirms the limitations of the usual approach to cointegration. Related papers in English, also downloadable, are Guisan(2001a) and (2003), cited in the bibliography.

Suggested Citation

  • Guisan, M.Carmen, 2002. "Causalidad y cointegracion en modelos econometricos: Aplicaciones a los paises de la OCDE y limitaciones de los tests de cointegracion," Economic Development 61, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics..
    • Handle: RePEc:eaa:ecodev:61
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    References listed on IDEAS

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    10. Guisan, M.Carmen, 2001. "Causality and Cointegration between Consumption and GDP in 25 OECD countries: limitations of cointegration approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 1(1), pages 39-61.
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    1. Guisan, M.C. & Iglesias, A., 2002. "Las Industrias Derivadas de la Madera En España (1964-90). Comparacion internacional, modelos econometricos y analisis de causalidad," Economic Development 52, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics..

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    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • F0 - International Economics - - General
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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