Are the Economies of Canada and the United States Integrated? Evidence from Cointegration Analysis

28 Pages Posted: 12 Oct 2014 Last revised: 27 Sep 2017

See all articles by Hari Luitel

Hari Luitel

Algoma University

Gerry Mahar

Algoma University

Krishna Kadiyala

Algoma University

Daniel Friyia

Algoma University

Brandon Mackinnon

Algoma University

Date Written: September 26, 2017

Abstract

In recognition of his contributions to the development of the method of cointegration analysis for analyzing nonstationary time series, late Sir Clive William John Granger (4 September 1934-27 May 2009) was awarded the Nobel Memorial Prize in Economic Sciences in 2003. Since then, this method has become a dominant paradigm in empirical economic research. However, this method is not without critics. This paper is one in a series to point out some inconsistent arguments used in the development of the method of cointegration analysis. To illustrate by example, we apply the method of time series cointegration analysis and present statistical evidence that supports the proposition that the economies of Canada and the United States are integrated. We conclude this paper by laying out a foundation to formally criticize the method of cointegration analysis in subsequent research.

Keywords: cointegration analysis, unit root, time series, econometric modeling, economic policy, policy analysis

JEL Classification: C22, C50, E60

Suggested Citation

Luitel, Hari and Mahar, Gerry and Kadiyala, Krishna and Friyia, Daniel and Mackinnon, Brandon, Are the Economies of Canada and the United States Integrated? Evidence from Cointegration Analysis (September 26, 2017). Available at SSRN: https://ssrn.com/abstract=2508415 or http://dx.doi.org/10.2139/ssrn.2508415

Hari Luitel (Contact Author)

Algoma University ( email )

1520 Queen Street East
Sault Ste. Marie, Ontario P6A 2G4
Canada
705-949-2301 (Phone)
705-949-6583 (Fax)

HOME PAGE: http://www.algomau.ca/

Gerry Mahar

Algoma University ( email )

1520 Queen St. East
Sault Ste. Marie, Ontario P6A 4G4
Canada
705-949-2301 ext 4758 (Phone)
705-949-6583 (Fax)

Krishna Kadiyala

Algoma University ( email )

1520 Queen St. East
Sault Ste. Marie, Ontario P6A 4G4
Canada
7059492301 ext 4325 (Phone)
705-949-6583 (Fax)

HOME PAGE: http://www.algomau.ca/

Daniel Friyia

Algoma University ( email )

1520 Queen St. East
Sault Ste. Marie, Ontario P6A 4G4
Canada
9059439515 (Phone)
705-949-6583 (Fax)

HOME PAGE: http://www.algomau.ca/

Brandon Mackinnon

Algoma University ( email )

1520 Queen St. East
Sault Ste. Marie, Ontario P6A 4G4
Canada
7059876706 (Phone)
705-949-6583 (Fax)

HOME PAGE: http://www.algomau.ca/

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