HASHIGUCHI, Yoshihiro and HAMORI, Shigeyuki (2010): The sustainability of trade balances in Sub-Saharan Africa: panel cointegration tests with cross-section dependence.
Download (123kB) | Preview
This paper investigates the sustainability of trade balances in the Sub-Saharan African regions, using both the panel unit root (IPS) test proposed by Im et al. (2003) and the cross-sectionally augmented version of the IPS (CIPS test) suggested by Pesaran (2007), where the former test is based on the assumption of cross-section independence and the latter allows for it. On the one hand, the empirical results based on the IPS test indicate that the balance of trade in Sub-Saharan African regions is sustainable. On the other hand, the empirical results of the CIPS test reveal that it is not. Since cross-section dependence was recognized using the CD test developed by Pesaran (2004), the empirical results based on the IPS test could be spurious.
|Item Type:||MPRA Paper|
|Original Title:||The sustainability of trade balances in Sub-Saharan Africa: panel cointegration tests with cross-section dependence|
|Keywords:||sustainability; trade balances; Sub-Saharan Africa; CIPS test|
|Subjects:||O - Economic Development, Technological Change, and Growth > O1 - Economic Development > O11 - Macroeconomic Analyses of Economic Development
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
|Depositing User:||Shigeyuki Hamori|
|Date Deposited:||22. Jul 2010 14:16|
|Last Modified:||16. Feb 2013 08:31|
Arize, A. C. (2002) Imports and exports in 50 countries: tests of cointegration and structural breaks, International Review of Economics and Finance, 11, 101-115.
Baharumshah, A. Z., Lau, E. and Fountas, S. (2003) On the sustainability of current account deficits: evidence from four ASEAN countries, Journal of Asian Economics, 14, 465-487.
Doornik, J. A. (2006) Ox: An Objected-Oriented Matrix Programming Language, Timberlake Consultants, London.
Hamori, S. (2009) The sustainability of trade accounts of the G-7 countries, Applied Economics Letters, 16, 1691-1694.
Husted, S. (1992) The emerging U.S. current account deficit in the 1980s: a cointegration analysis, Review of Economics and Statistics, 74, 159-166.
Im, K. S., Pesaran, M. H. and Shin, Y. (2003) Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53-74.
Irandoust, M. and Ericsson, J. (2004) Are imports and exports cointegrated? An international comparison, Metroeconomica, 55, 49-64.
Konya, L. (2009) The sustainability of the current account in the Czech Republic, Hungary and Slovenia, Empirical Economics, 36, 36-384.
Narayan, P. K. and Narayan, S. (2005) Are exports and imports cointegrated? Evidence from 22 least developed countries, Applied Economics Letters, 12, 375-378.
Pesaran, M. H. (2004) General diagnostic tests for cross section dependence in panels, CESifo Working Paper Series No. 1229; IZA Discussion Paper No. 1240. Available at SSRN: http://ssrn.com/abstract=572504 (accessed 25 January 2010).
Pesaran, M. H. (2007) A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22, 265-312.
R Development Core Team (2009) R: A Language and Environment for Statistical Computing, R Foundation for Statistical Computing, Vienna.
Wu, J.-L. (2000) Mean reversion of the current account: evidence from the panel data unit-root test, Economics Letters, 66, 215-222.