NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

N. Edward Coulson

Lied Institute for Real Estate Studies and the Dep
Lee Business School, University of Nevada, Las Veg
4505 S. Maryland Parkway, Box 456005
Las Vegas, NV 89154

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NBER Working Papers and Publications

March 1990Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
with Scott J. Brown, Robert F. Engle: w3291
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.
 
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