Short and long-term relationships between the Economies of the states: Bahia, Pernambuco e Ceará: 1970-2000
DOI:
https://doi.org/10.5902/141465093477Keywords:
Cointegration, The Vector Error Correction Model, Brazil-northeast, Regional developmentAbstract
This paper considering the possibility of cointegration between the GSP (Gross State Product) for the three largest economies of Brazilian Northeast: Bahia, Ceará and Pernambuco, with date of respective GSP in period of 1970 to 2000, estimated the relationship of short and long run. The following tests and models were used: The ADF Unit Root Test; The Johansen Cointegration Test; The Vector Error Correction Model, The Exogeneity Test and The Variance Decomposition of Prediction, besides The Impulse Response Functions. In the short run, the Ceará’GSP tend to eliminate the transitory unbalances more quicklythan Bahia’GSP. Trough of the exogeneity test verified that Pernambuco’GSP not influence the Bahia’GSP but the Bahia’GSP influence the Pernambuco’GSP and the Ceará’GSP. The analysis of decomposition of prediction error confirming this result. The Impulse Response Functions aim that the Bahia and Ceará economies are complementary, while Ceará and Pernambuco economies are competitors. The results aim to the necessity of consideration effects that politic of development individual could have in the others state within of region.
Downloads
References
AZZONI, R. C. Concentração regional e dispersão das rendas per capita estaduais: análise a partir de séries históricas estaduais de PIB, 1939-1995. Est.Econ., São Paulo, v.27, n.3,p.341-393.set-dez, 1997.
ALENCAR, L. S. de. Raízes unitárias e cointegração: uma introdução. Boletim do Banco Central do Brasil, Brasília, v.34, n.4, p.171 –210, abr, 1998.
AMABLE Bruno, JUILLARD, Michel. The Historical process of convergence. University of Lille 2 and CEPREMAP. Paris, 2000.
BOLETIN CONJUNTURAL. Nordeste do Brasil. SUDENE, ago. 2000. Fascículo.
BOX, George E. P., JENKINS, G. M., REINSEL, G.C. Time series analysis: forecasting and control. New Jersey: Prentice-Hall, 1994.
CARLINO, G. Defina, R. Regional income dynamics. Philadelphia Working Paper, 1993.
CARLINO, G., SILL, Keith. Regional income fluctuations:common trends and common cycles.Philadelphia Working Paper, 2000.
ENDERS, W. Applied econometric time series. New York: John Wiley & Sons Inc., 1995.
ENDERS, W. RATS handbook for time series. New York: John Wiley, & Sons Inc., 1996
ENGLE, R. F., GRANGER, C.W.J. Co-integration and error-correction: representation, estimation, and testing. Econometrica, v.55, p. 251-76, 1987.
FERREIRA, P. C. Gomes, ELLERY JR, R. de Goes. Convergência entre a renda per-capita dos estados brasileiros. R. de Econometria, Rio de Janeiro, v.16,n,1, p. 83-103, 1996.
GRANGER, C. W..J. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods,” Econometrica, v.37, p.424–438, 1969.
HAMILTON, J. D. Time series analysis. Princeton: Princeton University Press, 1994.
HIDALGO, A. Barrantes, VERGOLINO, J. R. O nordeste e o comércio inter-regional e internacional: um teste dos impactos por meio do modelo gravitacional. R. Economia Aplicada, São Paulo, v.2, n4, p.707-725, 1998.
HOLANDA, Marcos C., MAGALHÃES, André M. Commom economic cycles in Brazil’s Northeast. Revista Econômica do Nordeste, Fortaleza, v.30,n.Especial, p.938-946, dezembro, 1999.
JOHANSEN, S., JUSELIUS, Katerina. “Maximum Likelihood Estimation and Inference on Cointegation with application to the demand for money”. Oxford Bulletin of Economics and Statistics, v.52, n.3, p.169-209, 1990.
JUSTO, Wellington Ribeiro, SILVEIRA NETO, Raul da. Migração inter-regional no Brasil: Evidências a partir de um modelo espacial. In: Anais do XXXII Encontro Nacional de Economia, João Pessoa, 2004.
STRAZICICH, Mark C., LEE, Junsoo, Day, Edward. Are incomes converging among OECD countries? Time series evidence with two structural breaks. Department of Economics University of Central Florida. 2001. (working paper).
LEE, Junsoo, STRAZICICH, Mark C. Minimum LM unit test with two structural breaks. Department of Economics University of Central Florida Working Paper. 2002. (working paper).
MACKINNON, J. G. Critical values for cointegration tests. In: Engle, R. F.; Granger, W. J. Long-run economic relationships: readings in cointegration. New York: Oxford University Press, p. 267-76, 1991.
MARGARIDO, Mário A., FERNANDES, J. Marie, Turolla, A. Frederico. Análise da formação de preços no mercado internacional de soja: o caso do Brasil. Agric. São Paulo, São Paulo, v.47, n.2, p. 71-85, 2002.
OSTERWALD-LENUM, M. “A note with fractiles of asymptotic distribution of the maximum likelihood cointegration rank test statistics: four cases”. Oxford Bulletin of Economics and Statistics, v.54, n.3, p.461-472, 1992.
SILVA, Magno V. B. da, JUSTO, Wellington Ribeiro e MAGALHÃES, André Matos. Comércio interestadual e internacional do Brasil e do Nordeste: uma abordagem do modelo gravitacional. In: FORUM BANCO DO NORDESTE DE DESENVOLVIMENTO E VIII ENCONTRO REGIONAL DE ECONOMIA. Fortaleza. Anais, 2004
SIMS, C. A. Macroeconomics and reality. Econometrica, v.48, p.1-48, jan, 1980.
STOCK, J. and WATSON, M. Testing for common trends. Journal of the American Statistical Association, v.83, p. 1097-1107, dec.1988.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2007 Economia e Desenvolvimento
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
The journal reserves the right of making changes in the originals in a normative order, orthographic and grammatical, with the objective of maintaining the language cult pattern, respecting the authors success. The final tests will not be sent to the authors. The published papers become the Economics and Development propriety. The opinions issued by the article’s authors are their own responsibility.
