English, Article, Journal or magazine article edition: Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share Scott J. Brown; N. Edward Coulson; Robert F. Engle

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Bookmark: http://trove.nla.gov.au/version/141814
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Author
  • Scott J. Brown
  • N. Edward Coulson
  • Robert F. Engle
Physical Description
  • preprint
Notes
  • This paper tests for cointegration between regional output of an industry and national output of the same industry. An equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors for 20 states finds very little evidence for cointegration. Forecasting models with and without imposing cointegration are than constructed and used to forecast out of sample. The simplest, non-cointegrating models are the best.
  • RePEc:nbr:nberwo:3291
Language
  • English
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