Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income. This is done in...

The present paper tests for the validity of long-run purchasing power parity (PPP) for seventeen European economies in transition. Analysis is performed following the methodological suggestions expressed in recent studies for PPP. Longrun PPP is initially tested for each economy vis-a-vis the US, using the Johansen cointegration methodology and then for the whole set of countries using the Lars...

This paper offers a detailed assessment of the Balassa-Samuelson (BS) effect in eight Central and Eastern European countries (CEEC8). Several features distinguish this study from others: First, we investigate a variety of specifications of extended models. Nonhomogeneity of wages, deviations from PPP in tradables and demand side variables are found to importantly contribute to explain inflation...

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling jointly the cointegration restrictions at the different frequencies may induce some efficiency gain in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already exist...

This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroeconomic dynamics. The ...

Using a panel data set of bilateral export flows from 12 EU countries to 20 OECD trading partners over the period 1992-2003, a panel cointegration approach to estimating the gravity model is adopted to test for the significance of European regional integration. A comparison of the results indicates that a positive and significant coefficient estimate of the EU dummy variable is found for both t...

We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...

A critical review of cointegration is presented in this paper, emphasizing some limitations of this approach to testing causal relations in Econometrics. We present an application of cointegration tests to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries, during the period 1960-97, and the results confirm those limitations and the convenience of giving mo...

This article investigates the forward market efficiency by testing the unbiased forward exchange rate hypothesis using nine currencies vis-à-vis the U.S. dollar. The empirical tests are conducted using monthly data during the period between January 1985 and December 1996 and two different methods of cointegration tests, a fractional (GPH) test and the HarrisInder test. The two cointegration tes...

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...