Cross Sectional Dependence and Cointegration Analysis among the GDP-Foreign Direct Investment and Aggregate Credits: Evidence from Selected Developing Countries

Senturk Mehmet, Akbas Yusuf Ekrem and Ozkan Gokcen

Asian Economic and Financial Review, 2014, vol. 4, issue 11, 1485-1501

Abstract: In this study; it is investigated that gross domestic product (GDP), foreign direct investment (FDI) and aggregate credits (CR) relationship of seven developing countries over the period of 1982-2010. Firstly, CDLM tests were applied to detect the cross-sectional dependency. Then, SURADF and CADF tests were applied. According to cross-sectional augmented panel unit root test (CIPS) result that detect if the entire panel carries a unit root, is consistent with SURADF and CADF test results. Finally, cointegration is determined among GDP, FDI and CR in all cases via Westerlund (2007)) Error Correction and Westerlund and Edgerton (2007) Lagrange Multiplier (LM) Bootstrap panel cointegration tests.

Keywords: GDP; FDI; Aggregate credits; Cross-sectional dependency; Panel cointegration analysis; Non-stationary panels. (search for similar items in EconPapers)
Date: 2014
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