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The long-run impact of idiosyncratic and common shocks on industry output in Ghana

机译：特殊和普遍冲击对加纳工业产出的长期影响

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摘要

This study explores the long-run impact of idiosyncratic and common shocks on industry output in Ghana while controlling for the effects of investment. In order to deal with the second-order bias problem, this study employed canonical cointegration and fully modified ordinary least-squares (OLS) regressions, which are more robust to second-order bias problems. Different models are, therefore, specified and estimated. Fully modified OLS and canonical cointegration are extended in successive steps in order to verify if the inclusion of idiosyncratic and common shocks improves the statistical properties of the model. Secondly, a backward approach, in which idiosyncratic and common shocks are excluded successively, is also adopted. Preliminary findings showed signs of long-run equilibrium. The a priori expectation and the statistical importance of investment are established in both fully modified OLS and canonical cointegration models. This result is robust using both the Bartlett and Parzen kernels. However, while the elasticity value for investment is invariant to the model and kernel type used for fully modified OLS, the opposite result is found for canonical cointegration. Importantly, the absolute value of the investment elasticity is kept within the limits of 0 and 1. The impacts of idiosyncratic and common shocks are negative and statistically significant in the long run for both fully-modified OLS and canonical cointegration. This result is robust to the Bartlett and Parzen kernels. Result based on the fully modified OLS also showed that the sizes of the elasticity values for both idiosyncratic and common shocks are sensitive to the model type and kernel type used. Despite the differences in the elasticity values, result for both models are qualitatively similar.
机译：这项研究探讨了特质和普遍冲击对加纳工业产出的长期影响，同时控制了投资的影响。为了处理二阶偏差问题，本研究采用规范协整和完全修改的普通最小二乘（OLS）回归，它们对二阶偏差问题更为鲁棒。因此，要指定和估计不同的模型。完全修改的OLS和典范协整在连续的步骤中进行了扩展，以验证是否包含特质和常见冲击会改善模型的统计特性。其次，还采用了一种后向方法，其中先后排除了特有的和常见的冲击。初步发现显示出长期均衡的迹象。在完全修改的OLS和规范协整模型中都建立了先验期望和投资的统计重要性。使用Bartlett和Parzen内核，此结果都是可靠的。但是，尽管用于投资的弹性值对于用于完全修改的OLS的模型和核类型而言是不变的，但在规范协整中却发现了相反的结果。重要的是，投资弹性的绝对值应保持在0和1的范围内。特质和普通冲击的影响是负面的，从长远来看，对于完全修改的OLS和规范协整而言，统计上的意义重大。该结果对于Bartlett和Parzen内核是可靠的。根据完全修改的OLS得出的结果还表明，特异冲击和普通冲击的弹性值的大小都对所使用的模型类型和内核类型敏感。尽管弹性值不同，但两个模型的结果在质量上相似。

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  • 来源
    《OPEC energy review》 |2015年第1期|17-52|共36页
  • 作者

    Philip Kofi Adom; Kwaku Amakye; Charles Barnor; George Quartey;

  • 作者单位

    Department of Banking and Finance, University of Professional Studies, P.O. Box LG 149, Legon-Accra, Accra, Ghana;

    Department of Banking and Finance, University of Professional Studies, Accra, Ghana;

    Department of Banking and Finance, University of Professional Studies, Accra, Ghana;

    Faculty of Accounting and Finance, University of Professional Studies, Accra, Ghana;

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