Suchergebnisse

A number of studies consider the relation between military spending and economic growth using Granger causality techniques. Some studies have used samples of groups of countries, finding no consistent results. Other studies have focused on individual countries, which permits greater knowledge of the structure of the economy and the budget. This study adds to the literature by providing an analysis of South African data, a particularly interesting case study given the considerable changes that have taken place in recent years. It is a developing country with a developed military sector and a relatively high military burden. In addition to analyzing South African data using standard "pre-cointegration" Granger causality techniques, this study employs modern vector autoregressive methodology that uses cointegration. This is an important improvement in the econometric analysis and indicates a significant negative impact of military spending on growth in South Africa that is not apparent when using the standard techniques.

A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth non-linear trend. Monte Carlo simulation is employed to derive finite-sample critical values for the proposed test and illustrate its attractive power properties against a range of stationary alternatives. The empirical relevance of the ST-MTAR test is highlighted via an application to aggregate house price data for the UK. Interestingly, house prices are found to exhibit structural change characterised a fitted logistic smooth transition process, with the newly proposed ST-MTAR test providing the most significant results of the alternative smooth transition unit root tests available.