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I(0) in, integration and cointegration out: Time series properties of endogenous growth models

Lau, Sau-him (Paul)

Description

To complement empirical growth studies applying unit root and cointegration methods, this paper shows that integration and cointegration properties arise intrinsically in stochastic endogenous growth models under fairly general conditions. It shows that a unit root has to be present in the autoregressive polynomial of the variables generated by an endogenous growth model, so as to produce steady-state growth in the absence of exogenous growth-generating element. This...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
URI: http://hdl.handle.net/1885/91571
Source: Journal of Econometrics

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