¿Están cointegradas las exportaciones y el producto en España?un análisis empírico y de simulación (1960-2003)

Abstract

This article analyses the possible existence of cointegration between exports and GDP in Spain during the years 1960-2003. It finds that there is not cointegration relation between the above mentioned variables, in contrast with previous studies done in Spain. In order to explain this finding, some important aspects, insufficiently studied, have been analysed by employing Montecarlo simulations: specifically, the specification of the deterministc components of the VECM estimated with Johansen's multivariable maximum likelihood approach. On the basis of these analyses, it can be established the high dependency relationship ot the results relating to the sample size and to the correct specification of the deterministc components as well as the debatable reliability of the Pantula's principle, especially when combined with samples belo2 75 observations.