IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/halshs-00606048.html
   My bibliography  Save this paper

A new approach for estimation of long-run relationships in economic analysis using Engle-Granger and artificial intelligence methods

Author

Listed:
  • Arshia Amiri

    (Department of Agricultural Economics - Shiraz University - Shiraz University)

  • Ulf-G Gerdtham

    (Skane University Hospital [Lund])

  • Bruno Ventelou

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

In time series analysis, most estimation of relationships and tests are typically based on linear estimators and most classical co-integration methods and causality tests are based on OLS regresses. However the linear functional specification is not necessarily the most appropriate form. This paper breaks the ordinary rules in econometrics and makes use of time series with artificial intelligence methods, testing for existence of nonlinear relationship. We illustrate the testing exercise using two examples based on OECD health data. In our illustration we confirm that improved nonlinear AEG and VEC, significantly, have a better ability to identify long run co-integration and causal relationships than ordinary linear ones. Ordinary methods and improved-nonlinear methods demonstrate similar results if the variables in a model are approximately linear.

Suggested Citation

  • Arshia Amiri & Ulf-G Gerdtham & Bruno Ventelou, 2012. "A new approach for estimation of long-run relationships in economic analysis using Engle-Granger and artificial intelligence methods," Working Papers halshs-00606048, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00606048
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00606048v2
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00606048v2/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Joseph P. Newhouse, 1977. "Medical-Care Expenditure: A Cross-National Survey," Journal of Human Resources, University of Wisconsin Press, vol. 12(1), pages 115-125.
    2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    3. Berta Rivera & Luis Currais, 2003. "The effect of health investment on growth: A causality analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(4), pages 312-323, November.
    4. Selma J. Mushkin, 1962. "Health as an Investment," NBER Chapters, in: Investment in Human Beings, pages 129-157, National Bureau of Economic Research, Inc.
    5. repec:bla:rdevec:v:3:y:1999:i:3:p:258-67 is not listed on IDEAS
    6. Gerdtham, Ulf-G. & Jonsson, Bengt, 2000. "International comparisons of health expenditure: Theory, data and econometric analysis," Handbook of Health Economics, in: A. J. Culyer & J. P. Newhouse (ed.), Handbook of Health Economics, edition 1, volume 1, chapter 1, pages 11-53, Elsevier.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Nancy Devlin & Paul Hansen, 2001. "Health care spending and economic output: Granger causality," Applied Economics Letters, Taylor & Francis Journals, vol. 8(8), pages 561-564.
    9. Berta Rivera & Luis Currais, 1999. "Economic growth and health: direct impact or reverse causation?," Applied Economics Letters, Taylor & Francis Journals, vol. 6(11), pages 761-764.
    10. Erkan Erdil & I. Hakan Yetkiner, 2009. "The Granger-causality between health care expenditure and output: a panel data approach," Applied Economics, Taylor & Francis Journals, vol. 41(4), pages 511-518.
    11. Ephraim Kleiman, 1974. "The Determinants of National Outlay on Health," International Economic Association Series, in: Mark Perlman (ed.), The Economics of Health and Medical Care, chapter 5, pages 66-88, Palgrave Macmillan.
    12. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
    13. Selma J. Mushkin, 1962. "Health as an Investment," Journal of Political Economy, University of Chicago Press, vol. 70(5), pages 129-129.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Amiri, Arshia & Zibaei, Mansour, 2012. "Granger causality between energy use and economic growth in France with using geostatistical models," MPRA Paper 36357, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alfredo M. Pereira & Rui M. Pereira & Pedro G. Rodrigues, 2019. "Health care investments and economic performance in Portugal: an industry level analysis," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(6), pages 1174-1200, October.
    2. Hartwig, Jochen, 2010. "Is health capital formation good for long-term economic growth? - Panel Granger-causality evidence for OECD countries," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 314-325, March.
    3. Erkan Erdil & I. Hakan Yetkiner, 2009. "The Granger-causality between health care expenditure and output: a panel data approach," Applied Economics, Taylor & Francis Journals, vol. 41(4), pages 511-518.
    4. Ärshiya Ämiri & Mikael Linden, 2016. "Income and total expenditure on health in OECD countries: Evidence from panel data and Hsiao's version of Granger non-causality tests," Economics and Business Letters, Oviedo University Press, vol. 5(1), pages 1-9.
    5. Jochen Hartwig, 2008. "Has Health Capital Formation Cured 'Baumol's Disease'? - Panel Granger Causality Evidence for OECD Countries," KOF Working papers 08-206, KOF Swiss Economic Institute, ETH Zurich.
    6. Lacheheb, Miloud & Med Nor, Norashidah & Baloch, Imdadullah, 2014. "Health Expenditure, education and Economic Growth in MENA Countries," MPRA Paper 60388, University Library of Munich, Germany.
    7. Erkan Erdil & I. Hakan Yetkiner, 2004. "A Panel Data Approach for Income-Health Causality," Working Papers FNU-47, Research unit Sustainability and Global Change, Hamburg University, revised Apr 2004.
    8. Nadide Halıcı-Tülüce & İbrahim Doğan & Cüneyt Dumrul, 2016. "Is income relevant for health expenditure and economic growth nexus?," International Journal of Health Economics and Management, Springer, vol. 16(1), pages 23-49, March.
    9. Tang, Chor Foon, 2010. "The determinants of health expenditure in Malaysia: A time series analysis," MPRA Paper 24356, University Library of Munich, Germany.
    10. Christopoulos, Konstantinos & Eleftheriou, Konstantinos, 2020. "The fiscal impact of health care expenditure: Evidence from the OECD countries," Economic Analysis and Policy, Elsevier, vol. 67(C), pages 195-202.
    11. Hartwig, Jochen, 2012. "Testing the growth effects of structural change," Structural Change and Economic Dynamics, Elsevier, vol. 23(1), pages 11-24.
    12. Jorge José Luis Reynoso-González. & Adrián De León Arias., 2021. "Crecimiento económico y gasto público en salud según población objetivo en México. (Economic Growth and Public Spending on Health According to Target Population in Mexico)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 89-114, May.
    13. Weichun Chen & Judith A. Clarke & Nilanjana Roy, 2014. "Health and wealth: Short panel Granger causality tests for developing countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(6), pages 755-784, September.
    14. Tang, Chor Foon, 2011. "Multivariate Granger Causality and the Dynamic Relationship between Health Care Spending, Income and Relative Price of Health Care in Malaysia," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(2), pages 199-214, December.
    15. Yan Feng & Toby Watt & Anita Charlesworth & Grace Marsden & Adam Roberts & Jon Sussex, 2017. "What Determines the Health Care Expenditure of High Income Countries? A Dynamic Estimation," Applied Economics and Finance, Redfame publishing, vol. 4(6), pages 1-16, November.
    16. Tang, Chor Foon, 2010. "Revisiting the health-income nexus in Malaysia: ARDL cointegration and Rao's F-test for causality," MPRA Paper 27287, University Library of Munich, Germany.
    17. Odhiambo, Nicholas M, 2021. "Health expenditure and economic growth in Sub-Saharan Africa: An empirical investigation," Working Papers 28863, University of South Africa, Department of Economics.
    18. Nicholas M. Odhiambo, "undated". "Health Expenditure and Economic Growth in sub-Saharan Africa: An Empirical Investigation," Working Papers AESRIWP05, African Economic and Social Research Institute (AESRI).
    19. Felipa de Mello-Sampayo & Sofia de Sousa-Vale, 2014. "Financing Health Care Expenditure in the OECD Countries: Evidence from a Heterogeneous, Cross-Sectional Dependent Panel," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 207-225, March.
    20. Paul J. J. Welfens, 2020. "Macroeconomic and health care aspects of the coronavirus epidemic: EU, US and global perspectives," International Economics and Economic Policy, Springer, vol. 17(2), pages 295-362, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:halshs-00606048. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.