Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India

Sinha, Dipendra and Sinha, Tapen (2007): Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India.

Abstract

This paper looks at the relationship between per capita saving and per capita GDP for India using the Toda and Yamamoto tests of Granger causality. Data are for 1950-2004. We distinguish between three types of saving. These are household saving, corporate saving and public saving. The results show that there is no causality between per capita GDP and per capita household saving/per capita corporate saving in either direction. However, there is bi-directional causality between per capita household saving and per capita corporate saving.

• Item Type: MPRA Paper
• Institution: Ritsumeikan Asia Pacific University, Japan, Macquarie University, Australia and ITAM, Mexico
• Language: English
• Keywords: Toda-Yamamoto; causality
• Subjects: 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 > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

References

Agrawal, P. (2001) The relation between savings and growth: cointegration and causality evidence from Asia, Applied Economics, 33, 499-513.

Economic Survey of India (2006) (http://indiabudget.nic.in/es2005-06/esmain.htm)

International Monetary Fund (2006) International Financial Statistics, Online version, July.

Ng, Serena and Perron, P. (2001) Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-54.

Rambaldi, A.N. and Doran, H.E. (1996) Testing for Granger non-causality in cointegrated systems made easy, Working paper in econometrics and applied statistics no. 88, University of New England.

Sinha, D. (1996) Savings and economic growth in India, Economia Internazionale, 49, 637-47.

Sinha, D. and Sinha, T. (1998) Cart before the horse? The saving-growth nexus in Mexico, Economics Letters, 61, 43-73.

Triantis, S.G. (1997) Life cycle theory and the impact of the rate of economic growth on saving, Applied Economics Letters, 4, 661-63.

Toda, H.Y. and Yamamoto, T. (1995) Statistical inferences in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, 225-50.