Cointegration: how short is the long run?

Hakkio, Craig S.; Rush, Mark

doi:10.1016/0261-5606(91)90008-8

Cited by 450 publications

(197 citation statements)

References 20 publications

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“…An estimator of cointegrating vectors constructed with temporally aggregated data is consistent (see, e.g., Granger 1990) and asymptotically as efficient as the estimator based on disaggregated time series, when, as in our case, all the variables in the cointegrating vector are flows (see, e.g., Chambers 2003). Chambers (2001), for example, demonstrates that estimates from cointegrating regressions are remarkable stable across frequencies, which is consistent with the well-known finding that the power of unit root and cointegration tests depends far more on the time span than on the number of observations (see, e.g, Shiller and Perron 1985;Hakkio and Rush 1991;Lahiri and Mamingi 1995).…”

Section: Data and Descriptive Statisticssupporting

confidence: 88%

The long-run determinants of fertility: one century of demographic change 1900–1999

2012

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We examine the long-run relationship between fertility, mortality, and income using panel cointegration techniques and the available data for the last century. Our main result is that mortality changes and growth of income contributed to the fertility transition. The fertility reduction triggered by falling mortality, however, is not enough to overcompensate the positive effect of falling mortality on population growth. This means that growth of income per capita is essential to explain the observed secular decline of population growth. These results are robust to alternative estimation methods, potential outliers, sample selection, different measures of mortality, the sample period, the inclusion of education as an explanatory variable, and the use of different data sets. In addition, our causality tests suggest that fertility changes are both cause and consequence of economic development.

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Section: Data and Descriptive Statisticssupporting

confidence: 88%

The long-run determinants of fertility: one century of demographic change 1900–1999

2012

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“…This has been shown by Shiller and Perron (1985), Hakkio and Rush (1991), Otero and Simth (2000), Rapach and Wohar (2004) and more recently by de Bruyn, Gupta and Stander (2013).…”

Section: Datamentioning

confidence: 56%

Tax evasion, financial development and inflation: Theory and empirical evidence

Bittencourt

Gupta

Stander

2014

Journal of Banking & Finance

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Using a standard overlapping generations monetary production economy, faced with endogenously determined tax evasion by heterogeneous agents in the economy, we provide a theoretical model that indicates that both a lower (higher) level of financial development and a higher (lower) level of inflation leads to a bigger (smaller) shadow economy. These findings are empirically tested within a panel econometric framework, using data collected for 150 countries over the period 1980−2009 to enable a broad generalisation of the results. The results support the developed theoretical model, even after having accounted for the differences in the levels of economic development, the level of institutional quality that includes different tax regimes and regulatory frameworks, central bank participation in the economy as well as different macroeconomic policies.JEL Classification: C61, E26, P16 Keywords: Informal economy, financial development, inflation. * We would like to thank two anonymous referees for many helpful comments that tremendously improved the quality of the paper. However, any remaining errors are solely ours.

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“…We use annual time-series data as they are sufficient to ensure the quality of the analysis (Hakkio and Rush 1991); the choice of the sample countries was subject to the availability of comprehensive data sets. The logarithm of per capita real gross domestic product (GDP) represents the level of economic growth (EG).…”

Section: A Variables and Datamentioning

confidence: 99%

Institutional Quality, Trade Openness, and Financial Sector Development in Asia: An Empirical Investigation

Kim

Lee

2015

Emerging Markets Finance and Trade

167

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Cointegration: how short is the long run?

Cited by 450 publications

References 20 publications

The long-run determinants of fertility: one century of demographic change 1900–1999

The long-run determinants of fertility: one century of demographic change 1900–1999

Tax evasion, financial development and inflation: Theory and empirical evidence

Institutional Quality, Trade Openness, and Financial Sector Development in Asia: An Empirical Investigation

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