Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

28 Pages Posted: 19 Jun 2004 Last revised: 1 Jul 2010

See all articles by Scott J. Brown

Scott J. Brown

Raymond James and Associates, Inc.; National Bureau of Economic Research (NBER)

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

N. Edward Coulson

Pennsylvania State University, College of the Liberal Arts - Department of Economic; National Bureau of Economic Research (NBER)

Date Written: March 1990

Abstract

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.

Suggested Citation

Brown, Scott J. and Engle, Robert F. and Coulson, N. Edward, Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share (March 1990). NBER Working Paper No. w3291. Available at SSRN: https://ssrn.com/abstract=226713

Scott J. Brown

Raymond James and Associates, Inc.

880 Carillon Parkway
Equity Research Department
St. Petersburg, FL 33716
727-573-3800. (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics ( email )

269 Mercer Street
New York, NY 10003
United States

New York University (NYU) - Department of Finance

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

N. Edward Coulson (Contact Author)

Pennsylvania State University, College of the Liberal Arts - Department of Economic ( email )

524 Kern Graduate Building
University Park, PA 16802-3306
United States
814-863-0625 (Phone)
814-863-4775 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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