Chudik, A. and Pesaran, M.H. and Smith, Ron P. (2023) Revisiting the Great Ratios Hypothesis. Oxford Bulletin of Economics and Statistics , ISSN 0305-9049.
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2023 - CPS Great Ratios OBES.pdf - Published Version of Record Available under License Creative Commons Attribution. Download (349kB) | Preview |
Abstract
Kaldor called the constancy of certain ratios stylized facts, Klein and Kosobud called them great ratios. While they often appear in theoretical models, the empirical literature finds little evidence for them, perhaps because the procedures used cannot deal with lack of co-integration, two-way causality, and cross-country error dependence. We propose a new system pooled mean group estimator that can deal with these features. Monte Carlo results show it performs well compared with other estimators, and using it on a dataset over 150 years and 17 countries, we find support for five of the seven ratios considered
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Ron Smith |
| Date Deposited: | 01 Aug 2023 12:41 |
| Last Modified: | 02 Aug 2023 18:21 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/51631 |
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