Tang, Chor Foon (2010): Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques.
This is the latest version of this item.
Preview 
PDF
MPRA_paper_27971.pdf Download (93kB)  Preview 
Abstract
The purpose of this study is to empirically investigate the vindication of savingsled growth hypothesis for the Malaysian economy with the long run TYDL version of Granger causality – Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996). This study used the quarterly sample from 1970:Q1 to 2008:Q4. The recursive regression procedure will also incorporate into the TYDL causality test to measure the stability of the savingsled growth hypothesis in the long run. Our empirical results support that the savingsled growth hypothesis is long run phenomenon and stable over time. Therefore, the Malaysian dataset supports the endogenous growth theory.
Item Type:  MPRA Paper 

Original Title:  Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques 
Language:  English 
Keywords:  Causality; Malaysia; Recursive regression; Savingsgrowth; Stability 
Subjects:  O  Economic Development, Innovation, Technological Change, and Growth > O1  Economic Development > O16  Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance E  Macroeconomics and Monetary Economics > E2  Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21  Consumption ; Saving ; Wealth C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C21  CrossSectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions 
Item ID:  27971 
Depositing User:  Chor Foon Tang 
Date Deposited:  13 Jan 2011 15:39 
Last Modified:  26 Sep 2019 08:34 
References:  Aghion, Philippe, Diego Comin, Peter Howitt, and Isabel Tecu (2009), When does domestic saving matter for economic growth? Harvard Business School Working Paper 09080, Havard University. Agrawal, P. (2001) The Relation between Saving and Growth: Cointegration and Causality Evidence from Asia. Applied Economics, 33, 499513. Baharumshah, A.Z. and Thanoon, M.A. (2003) Determinants of gross national saving in Malaysia: A macroeconomic analysis 19602000. Savings and Development, 27(4), pp. 421440. Baharumshah, A.Z., Thanoon, M.A., and Rashid, S. (2003) Saving Dynamics in the Asian Countries. Journal of Asian Economics, 13(6), 827845. Bierens, H.J. (1997) Nonparametric cointegration analysis. Journal of Econometrics, 7(2), pp. 379404. Boo, M.C. and Normee, C.S. (2004) Effect of foreign capital inflow and domestic savings on Malaysia’s economic growth: Time series evidence. In The 16th Malaysian Economic Association Convention, 9 December 2004, Malaysia. Davidson, R. and MacKinnon, J.G. (2004) Econometric Theory and Methods. Oxford University Press, Oxford. Dolado, J.J. and Lütkepohl, H. (1996) Making Wald tests work for cointegrated VAR system. Econometric Reviews, 15(4), pp. 369386. Domar, E.D. (1946) Capital expansion, rate of growth, and employment. Econometrica, 14(2), pp. 137147. Granger, C.W.J. (1969) Investigating causal relations by econometric models and crossspectral methods. Econometrica, 37, pp. 428438. Granger, C.W.J. (1988) Some recent development in the concept of causality. Journal of Econometrics, 39(12), pp. 199211. Granger, C.W.J. and Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics, 2, pp. 111120. Geweke, J., Meese, R. and Dent, W. (1983) Comparing alternative tests of causality in temporal systems. Journal of Econometrics, 21, pp. 161194. Hacker, R.S. and HatemiJ, A. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38, pp. 14891500. Harrod, R.F. (1939) An essay in dynamic theory. Economic Journal, 49(193), pp. 1433. Holmes, J.M. and Hutton, P.A. (1990) On the causal relationship between government expenditure and national income. Reviews of Economics Statistics, 72(1), pp. 8795. Hsiao, C. (1981) Autoregressive modeling and moneyincome causality detection. Journal of Monetary Economics, 7, pp. 85106. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), pp. 169210. Lee, J. and Strazicich, M.C. (2001) Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), pp. 535558. Lee, J. and Strazicich, M.C. (2003) Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), pp. 10821089. Lee, J. and Strazicich, M.C. (2004) Minimum LM unit root test with one structural break. Department of Economics, Appalachian State University, Boone, NC. Lumsdaine, R.L. and Papell, D.H. (1997) Multiple trend breaks and the unitroot hypothesis. Review of Economics and Statistics, 79(2), pp. 212218. Lütkepohl, H. (2005), New Introduction to multiple time series analysis. SpringerVerlag, Germany. Mantalos, P. (2000) A graphical investigation of the size and power of the Granger causality tests in integratedcointegrated VAR systems. Studies in Nonlinear Dynamics and Econometrics, 4, pp. 1733. Nelson, C.R. and Plosser, C.I. (1982) Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10(2), 139162. Perron, P. (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6), pp. 13611401. Pesaran, M.H., Shin, Y. and Smith, R.J. (2001) Bounds testing approaches to the analysis of the level relationships. Journal of Applied Econometrics, 16, pp. 289326. Phillips, P.C.B. (1986) Understanding spurious regression in econometrics. Journal of Econometrics, 33(3), pp. 311340. Romer, P. (1986) Increasing returns and longrun growth. Journal of Political Economy, 94(5), pp. 1002 1037. Sen, A. (2003) On unitroot tests when the alternative is a trendbreak stationary process. Journal of Business and Economic Statistics, 21(1), pp. 174184. Solow, R. (1956) A contribution to the theory of economic growth. Quarterly Journal of Economics, 70, pp. 6594. Tang, C.F. (2008a) An empirical modelling on savings behaviour in Malaysia. Labuan Bulletin of International Business and Finance, 6, pp. 5776. Tang, C.F. (2008b) Wagner’s law versus Keynesian hypothesis: New evidence from recursive regressionbased causality approaches. ICFAI Journal of Public Finance, 6(4), pp. 2938. Tang, C.F. (2009) Does causality technique matter to savingsgrowth nexus in Malaysia? Forthcoming in Malaysian Management Journal Tang, C.F. and Chua, S.Y. (2009) The savingsgrowth nexus in Malaysia: Evidence from nonparametric analysis. ICFAI Journal of Financial Economics, 7(3 & 4), pp. 112. Toda, H.Y. and Yamamoto, T. (1995) Statistical inference in vector autoregressions with possibly integrated process. Journal of Econometrics, 66(12), pp. 225250. World Bank (1993) The East Asian Miracle: Economic Growth and Public Policy. New York: Oxford University Press. Yamada, H. and Toda, H.Y. (1998) Inference in possibly integrated vector autoregressive models: Some finite sample evidence. Journal of Econometrics, 86(1), pp. 5595. Zapata, H.O. and Rambaldi, A.N. (1997) Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), pp. 285298. Zhou, S. (2001) The power of cointegration tests versus data frequency and time spans. Southern Economic Journal, 67(4), pp. 906921. Zivot, E. and Andrews, D.W.K. (1992) Further evidence of the greater crash, the oil price shock and the unitroot hypothesis. Journal of Business and Economic Statistics, 10(3), pp. 251270. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/27971 
Available Versions of this Item

Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques. (deposited 08 Dec 2010 23:18)

Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques. (deposited 22 Dec 2010 00:38)
 Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques. (deposited 13 Jan 2011 15:39) [Currently Displayed]

Savingsled growth theories: A time series analysis for Malaysia using the bootstrapping and timevarying causality techniques. (deposited 22 Dec 2010 00:38)