Cointegration in a Macroeconomic System:The Case of Taiwan

• Main Authors: Lih-Feng Lin, 林麗鳳
• Other Authors: Kuo-Yuan Liang
• Format: Others
• Language: en_US
• Published: 1993
• Online Access: http://ndltd.ncl.edu.tw/handle/26337883972058250183

碩士 === 國立清華大學 === 經濟學研究所 === 81 === This thesis analyzes the long-run relationships of six key macroeconomic variables: GDP, real consumption, real inves ment, real interest rate, real export, real wage earning; which are derived from the neoclassical growth model by means of cointegration. Using the quarterly data of Taiwan, the maximum likelihood estimation technique of Johansen(1988) is employed to estimate and test the cointe gration system. The empirical results demonstrated that the stationarity hypotheses implied by the growth model for the logarithemic difference of GDP and consumption, of GDP and investment, of GDP and wage earning, and the inter est rate have been rejected.