Kucukkale, Yakup and Yamak, Rahmi (2012): Cointegration, causality and Wagner’s law with disaggregated data: evidence from Turkey, 1968-2004.
Download (79kB) | Preview
Recent developments in time series analysis have encouraged the economists to re-examine their findings about the Wagner’s Law. That is why, the aggregation in public expenditures may lead some contradictions, disaggregated analyses should perform to have more consistent results. In this paper, the cointegration and causal relationships have re-examined between public expenditure and economic growth by using disaggregated annual data over the period of 1968-2004 for Turkish economy. Obtained results show that there is no common trend between these variables in the long-run. In the short-run, however, there is a strong and bidirectional causal relationship between public investment expenditures and economic growth.
|Item Type:||MPRA Paper|
|Original Title:||Cointegration, causality and Wagner’s law with disaggregated data: evidence from Turkey, 1968-2004|
|Keywords:||Wagner's Law, Cointegration, Causality, disaggregated data, public expenditures, economic growth|
|Subjects:||E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy
O - Economic Development, Innovation, Technological Change, and Growth > O2 - Development Planning and Policy > O23 - Fiscal and Monetary Policy in Development
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
B - History of Economic Thought, Methodology, and Heterodox Approaches > B2 - History of Economic Thought since 1925 > B22 - Macroeconomics
|Depositing User:||Yakup Kucukkale|
|Date Deposited:||24. Feb 2012 15:27|
|Last Modified:||11. Sep 2015 03:57|
Abizadeh S. and M. Yousefi, (1988), “An Empirical Analysis of South Korea’s Economic Development and Public Expenditure Growth”, Journal of Socio-Economics, 6(27), pp: 687-700.
Arisoy I., (2005), “Wagner ve Keynes Hipotezleri Cercevesinde Turkiye’de Kamu Harcamalari ve Ekonomik Buyume Iliskisi”, CU Sosyal Bilimler Enstitusu Dergisi, 14 (2), pp: 63-80.
Ashipala J. and N. Haimbodi, (2003), “The Impact of Public Investment on Economic Growth in Namibia”, NEPRU Working Paper, No: 88.
Asseery A. A., Law D. and N. Perdikis, (1999), “Wagner’s Law and Public Expenditure in Iraq: A Test using Disaggregated Data”, Applied Economics Letters, 6, pp: 39-44.
Cavusoglu A. T., (2005), “Testing the Validity of Wagner’s Law in Turkey: The Bounds Testing Approach”, Ankara University SBF Review, 60(1), pp: 73-88.
Chletsos M. and C. Kollias, (1997), “Testing Wagner’s law using disaggregated public expenditure data in the case of Greece: 1958-93”, Applied Economics, 29, pp: 371-377.
Courakis A. S., Moura-Roque F. and G. Tridimas, (1993), “Public Expenditure Growth in Greece and Portugal: Wagner’s Law and Beyond”, Applied Economics, 25, pp: 125-134.
Demirbas S., (1999), “Cointegration Analysis-Causality Testing and Wagner's Law: The Case of Turkey, 1950-1990”, Annual Meeting of the European Public Choice Society, April 7-10 1999, Lisbon.
Dickey D. A. and W. A. Fuller, (1979), “Distribution of the Estimators for Autoregressive Series with a Unit Root”, Journal of the American Statistical Association, 74, pp: 427-431.
Dickey D. A. and W. A. Fuller, (1981), “Likelihood Ratio Statistics and Autoregressive Time Series with a Unit Root”, Econometrica, 49, pp: 1057-1072.
Engle R. F. and C. W. J. Granger, (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, pp: 251-276.
Granger, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 3(37), pp: 424-438.
Granger, C. W. J., (1987), “Implications of Aggregation with Common Factors”, Econometric Theory, 3, pp: 208-222.
Granger, C. W. J., (1988), “Some Recent Developments in a Concept of Causality”, Journal of Econometrics, 39, pp: 213-228.
Granger, C. W. J., (1988), “Aggregation of Time Series Variables – A Survey”, Federal Reserve Bank of Minneapolis, Discussion Paper, No: 1.
Granger C. W. J. and P. Newbold, (1974), “Spurious in Econometrics”, Journal of Economics, 2, pp: 111-120.
Granger, C. W. J. and P. L. Siklos, (1995), “Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration Theory and Evidence”, Journal of Econometrics, 66, pp: 357-369.
Gulasekaran, R., (2002), “The Distortionary Effects of Temporal Aggregation on Granger Causality”, Business Papers, Bond University Schools of Business.
Halicioglu F., (2003), “Testing Wagner’s Law for Turkey: 1960-2000”, Review of Middle East Economics and Finance, 2(1), pp: 129-140.
Heller P. S., (1981), “Diverging Shares in the Nominal and Real Government Expenditure in GDP: Implications for Policy”, National Tax Journal, 34, pp: 61-74.
Jackson P. M., Fethi M. D. and S. Fethi, (1998), “Cointegration, Causality and W agner’s Law: A test for Northern Cyprus, 1977-1996”, Second International Congress on Cyprus Studies; Eastern Mediterranean University, Gazimagusa, Turkish Republic of Northern Cyprus, 24-27 November, 1998.
Jiranyakul K., (2007), “The Relation between Government Expendıtures and Economic Growth in Thailand”, Working Paper, National Institute of Development Administration, Thailand
Johansen S., (1988), “Statistical Analysis of Cointegration Vector”, Journal of Economic Dynamics and Control, 12, pp: 231-254.
Johansen S. and K. Juselius, (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52, pp: 169-210.
Liu L. C., Hsu C. E. and M. Z. Younis, (2008), “The Association between Government Expenditure and Economic Growth: Granger Causality Test of US Data, 1947-2002”, Journal of Public Budgeting, Accounting & Financial Management, 20 (4), pp: 439-452.
Mann A. J., (1980), “Wagner’s Law: An Econometric Test for Mexico”, National Tax Journal, 33, pp: 189-201.
MacKinnon J. G., (1990), “Critical Values for Co-integration Tests”, UC San Diego Discussion Paper, 90-4.
Morley B. and N. Perdikis, (2000), “Trade Liberalization, Government Expenditure and Economic Growth in Egypt”, Journal of Development Studies, 4(36), pp: 38-54.
Murthy N. R. V., (1993), “Further Evidence of Wagner’s Law for Mexico: An Application of Cointegration Analysis”, Public Finance/Finances Publiques, 1(48), pp: 92-96.
Narayan P. K., Nielsen I. and R. Smyth, (2008), “Panel Data, Cointegration, Causality and Wagner's Law: Empirical Evidence from Chinese Provinces”, China Economic Review, 19, pp: 297-307.
Oxley L., (1994), “Cointegration, Causality and Wagner’s Law: A Test for Britain 1870-1913”, Scottish Journal of Political Economy, 3(41), pp: 286-298.
Pesaran, M. H., Pierse, R. G. and M. S. Kumar, (1989), “Econometric Analysis of Aggregation in the Context of Linear Prediction Models”, Econometrica, 4(57), pp: 861-888.
Philips P. C. B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regressions”, Biometrika, pp. 335-346.
Sargan J. D. and A. Bhargava, (1983), “Testing Residuals from Least Squares Regression for being Generated by the Gaussian Random Walk”, Econometrica, 51, pp. 153-174.
Sims, C. A., (1980), “Macroeconomics and Reality”, Econometrica, 48, pp: 1-49.
Tobin D., (2005), “Economic Liberalization, the Changing Role of the State and ‘Wagner’s Law’: China’s Development Experience since 1978”, World Development, 5(33), pp: 729-743.
Wagner R. E. and W. E. Weber, (1977), “Wagner’s Law, Fiscal Institutions and the Growth of Government”, National Tax Journal, 30, pp: 59-68.
Yamak N. and Y. Kucukkale, (1997), “Turkiye’de Kamu Harcamalari Ekonomik Buyume Iliskisi”, Iktisat, Isletme ve Finans, 131, pp: 5-14.
Yamak N. and R. Yamak, (2001), “Cointegration, Causality and Wagner’s Law: Evidence from Turkey: 1950-1994”, 37th Annual Meeting of Missouri Valley Economic Association, Kansas City, USA
Yaser B. S. and T. R. T. Rajan, (1985), “Share of Government in Gross National Product”, METU Studies in Development, 12, pp: 107-118.
Zivot, E. and D. W. K. Andrews, (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business and Economic Statistics 10, 251-270.