Study of Symmetric and Asymmetric Cointegration relationship among the effective factors on economic growth in Iran

Abstract

This paper attempts to study the effective factors on economic growth using the techniques practiced in time series econometrics in Iran. To this end, first the Augmented Dickey-Fuller (ADF) test and then the Atuo-Regressive Distributed Lag (ARDL) cointegration test were applied respectively to study the stationarity of the pattern variables, and long run and equilibrium relation and this long term relationship is estimated. The results are concordant with theoretical expectations, so that variables of exports growth, imports growth (imports of intermediate and capital goods), labor force growth, capital growth and human capital growth have positive and significant relation with economic growth. The pattern studied, is a logarithm linear regression, the coefficient results show the elasticity of Gross Domestic Product (GDP) variable in comparison with independent variables. In addition to this, according to the estimation of Error Correcation Model (ECM), adjustment indicator coefficient factor is equal to -0.71 which is indicative of quick adjustment of fluctuations in economic growth, so that every year 71 percent of fluctuations are eliminated. Also asymmetric cointegration relationship (nonlinear relationship) among pattern variables are investigated using Enders and Siklos method. To this end, Threshold autoregressive (TAR) is used. The result of this estimate pattern indicates the existence of asymmetric cointegration relationship among variables.