Kiel Working Papers, Kiel Institute for World Economics
No 1101:
Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany
Hubert Strauß
Abstract: A shortcoming of most empirical studies on aggregate
exports is their exclusive focus on the demand side. Moreover, the effect
of globalization is often neglected leading to implausibly high income
elasticities. This paper models export demand and supply simultaneously and
incorporates a new proxy for globalization. Owing to the non-stationarity
of the data, the vector error correction model is the appropriate
econometric framework. Using the Johansen procedure, two cointegration
relationships are found and identified as export supply and demand.
Overidentifying restrictions derived from economic theory are tested.
Finally, after checking for weak exogeneity, a parsimonious partial model
is presented and the adjustment paths of the endogenous variables are
discussed.
Keywords: cointegration analysis; Johansen procedure; export demand and supply; trade elasticities; (follow links to similar papers)
JEL-Codes: F31; F41; (follow links to similar papers)
156 pages, March 2002
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