Within and between panel cointegration in the German Regional Output-Trade-FDI Nexus
For spatial data with a sufficiently long time dimension, the concept of «global» cointegration has been recently introduced to the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we anal...
| Author: | |
|---|---|
| Format: | article |
| Publication Date: | 2011 |
| Country: | España |
| Institution: | Universidad de Alcalá (UAH) |
| Repository: | e_Buah Biblioteca Digital Universidad de Alcalá |
| Language: | English |
| OAI Identifier: | oai:ebuah.uah.es:10017/27422 |
| Online Access: | http://hdl.handle.net/10017/27422 |
| Access Level: | Open access |
| Keyword: | Global cointegration Spatial Durbin model Growth Trade FDI Cointegración global Modelo espacial Durbin Crecimiento Comercio Inversión extranjera directa Economía Geografía Sociología Economics Geography Sociology |
| Summary: | For spatial data with a sufficiently long time dimension, the concept of «global» cointegration has been recently introduced to the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we analyze the role of globally cointegrated variable relationships using German regional data (NUTS1 level) for GDP, trade, and FDI activity during the period 1976-2005. Applying various homogeneous and heterogeneous panel data estimators to a Spatial Panel Error Correction Model (SpECM) for regional output growth allows us to analyze the short- and long-run impacts of internationalization activities. For the long-run cointegration equation, the empirical results support the hypothesis of export- and FDI-led growth. We also show that for export and outward FDI activity positive cross-regional effects are at work. Likewise, in the short-run SpECM specification, direct and indirect spatial externalities are found to be present. |
|---|