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Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries

Laszlo Konya ()

International Journal of Applied Econometrics and Quantitative Studies, 2004, vol. 1, issue 2, 67-94

Abstract: This article is a supplement to Kónya (2004) which investigates the possibility of the export-led growth and growth-driven export hypotheses by testing for Granger causality between the logarithms of real exports and real GDP in twenty-five OECD countries. In Kónya (2004) two complementary testing strategies were applied. First, depending on the time series properties of the data, causality was tested with Wald tests within finite-order vector autoregressive (VAR) models in levels and/or in first-differences. Then, with no need for pre-testing, a modified Wald (MWald) procedure was used in augmented level VAR systems. For brevity, the results of the unit root, cointegration and MWald tests were not reported in Kónya (2004). The aim of the current article is to fill in this gap.

Keywords: unit root; cointegration; causality; economic growth; export; OECD countries (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 F43 O57 (search for similar items in EconPapers)
Date: 2004
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