Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests
AbstractIn this paper we test the stationarity properties of the consumption-income ratio for a sample of 14 European Union countries over the period 1960-1999 utilizing recent advances in panel unit root and asymmetric unit root tests. We find that a failure to take account of asymmetries, would imply I(1) consumption income ratio although unit root tests based on TAR models indicate stationarity in at least one regime. This result provides more evidence in relation to Sarantis and Stewart (Economics Letters, 1999) who found that the consumption-income ratio is I(1).
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2002)
Issue (Month): 12 ()
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Consumption-Income Ratio Panel Unit Root Tests Assymetric Unit Root Tests TAR Models;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
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"Stochastic Trends and Economic Fluctuations,"
NBER Working Papers
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- Sarantis, Nicholas & Stewart, Chris, 1999. "Is the consumption-income ratio stationary? Evidence from panel unit root tests," Economics Letters, Elsevier, vol. 64(3), pages 309-314, September.
- Deaton, Angus S, 1977. "Involuntary Saving through Unanticipated Inflation," American Economic Review, American Economic Association, vol. 67(5), pages 899-910, December.
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