Resumen de Causality and cointegration between consumption and gdp in 25 OECD countries: Limitations of the cointegration approach

María del Carmen Guisán Seijas

• A critical review of cointegration is presented in this paper, emphasizing some limitations of this approach to testing causal relations in Econometrics. We present an application of cointegration tests to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries, during the period 1960-97, and the results confirm those limitations and the convenience of giving more emphasis to other alternative approaches like mixed dynamic models and specification tests.