Skip navigation
Skip navigation

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]

dc.contributor.authorLau, Sau-him (Paul)
dc.date.accessioned2015-12-13T23:22:41Z
dc.identifier.issn0304-4076
dc.identifier.urihttp://hdl.handle.net/1885/91571
dc.description.abstractTo 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 endogenous-growth-generating mechanism induces difference stationarity of the variables even though the external impulses are stationary, and it leads to the phenomenon of cointegration if the variables satisfy a state space representation. The 'unit root propagation mechanism' is the time series analogue of the 'constant returns' (to reproducible inputs) condition in the theoretical endogenous growth literature. The time series properties of endogenous growth models, when combined with their counterparts for exogenous growth models, lead to testable implications for distinguishing between these two classes of models.
dc.publisherElsevier
dc.sourceJournal of Econometrics
dc.subjectKeywords: Cointegration; Source and implications of endogenous growth; Unit roots
dc.titleI(0) in, integration and cointegration out: Time series properties of endogenous growth models
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume93
dc.date.issued1999
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.ariespublicationMigratedxPub22358
local.type.statusPublished Version
local.contributor.affiliationLau, Sau-him (Paul), College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issueNovember
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage24
dc.date.updated2015-12-12T09:12:05Z
local.identifier.scopusID2-s2.0-0002800208
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Lau_I(0)_in,_integration_and_1999.pdf169.72 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator