Causalidad y cointegracion en modelos econometricos: Aplicaciones a los paises de la OCDE y limitaciones de los tests de cointegracion

Maria-Carmen Guisan

Economic Development from University of Santiago de Compostela. Faculty of Economics and Business. Econometrics.

Abstract: En este documento se analizan las limitaciones del analisis de cointegracion para la determinacion del caracter causal o espurio de las relaciones economicas. La aplicacion habitual de este enfoque lleva, con frecuencia, a considerar como espurias relaciones que son causales y, ademas, no siempre evita el peligro de considerar como no espurias relaciones que si lo son. Se efectua una aplicacion a la relacion entre Consumo y el PIB en 25 paises de la OCDE, la cual confirma las limitaciones de dicho enfoque. Documentos de la autora en ingles, relacionados con este tema son Guisan(2001a) y (2003), citados en la bibliografia.

A general review of cointegration is presented in this paper, emphasizing the limitations of this approach, as the usual application very often leads to declare as spurious many important causal relations, and besides that it does not always avoid the peril of accepting as causal relations that really are spurious. The application to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries confirms the limitations of the usual approach to cointegration. Related papers in English, also downloadable, are Guisan(2001a) and (2003), cited in the bibliography.

JEL-codes: C5 C52 E21 F0 O51 O52 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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