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Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non-Linear Panel Unit Root Tests For Oecd And Non-Oecd Countries

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  • MARIO CERRATO
  • CHRISTIAN DE PERETTI
  • CHRIS STEWART

Abstract

This paper applies recently developed heterogeneous nonlinear and linear panel unit root tests that account for cross-sectional dependence to 24 OECD and 33 non-OECD countries’ consumption-income ratios over the period 1951–2003. We apply a recently developed methodology that facilitates the use of panel tests to identify which individual cross-sectional units are stationary and which are nonstationary. This extends evidence provided in the recent literature to consider both linear and nonlinear adjustment in panel unit root tests, to address the issue of cross-sectional dependence, and to substantially expand both time-series and cross sectional dimensions of the data analysed. We find that the majority (65%) of the series are nonstationary with slightly fewer OECD countries’ (61%) series exhibiting a unit root than non-OECD countries (68%).

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Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 81 (2013)
Issue (Month): 1 (01)
Pages: 102-120

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Handle: RePEc:bla:manchs:v:81:y:2013:i:1:p:102-120

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Cited by:
  1. Holmes, Mark J. & Shen, Xin, 2013. "A note on the average propensity to consume, wealth and threshold adjustment," Economic Modelling, Elsevier, vol. 35(C), pages 309-313.

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