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Inequality Persistence of 21 OECD Countries from 1870 to 2020: Linear and Non-Linear Fractional Integration Approaches

Author

Listed:
  • Sakiru Adebola Solarin

    (University of Notthingham)

  • Carmen Lafuente

    (Universidad Francisco de Vitoria)

  • Luis A. Gil-Alana

    (University of Navarra, Universidad Francisco de Vitoria)

  • Maria Jesus Gonzalez Blanch

    (Universidad Francisco de Vitoria)

Abstract

This paper investigates inequality persistence in a group of 21 OECD countries using linear and non-linear fractionally integrated methods. Using linear models, the results show that the series are strongly persistent which implies lack of average reversal and permanency of shocks. Mean reversion is only found in the case of Finland and partial evidence of mean reversion is detected for Belgium, Greece, Austria and the Netherlands. The results are similar using non-linear methods. Mean reversion is only found in the case of Finland, Belgium, Greece and Spain. Although, most countries show no evidence of non-linear structures except for four countries, namely, Finland, Spain, the United Kingdom and the United States. The implications of the empirical findings are reported at the end of the manuscript.

Suggested Citation

  • Sakiru Adebola Solarin & Carmen Lafuente & Luis A. Gil-Alana & Maria Jesus Gonzalez Blanch, 2022. "Inequality Persistence of 21 OECD Countries from 1870 to 2020: Linear and Non-Linear Fractional Integration Approaches," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(2), pages 711-725, November.
    • Handle: RePEc:spr:soinre:v:164:y:2022:i:2:d:10.1007_s11205-022-02982-x
    DOI: 10.1007/s11205-022-02982-x
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    More about this item

    Keywords

    Inequality; Persistence; Fractional Integration; Gini Index; OECD;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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