Multicointegration in US consumption data
AbstractThe present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative past discrepancies between the flows of income and expenditure, on the other hand, can be thought of as a stock-flow model, in which multicointegration is likely to occur. Recently developed I(2) techniques are applied for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 38 (2006)
Issue (Month): 7 ()
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Other versions of this item:
- Boriss Siliverstovs, . "Multicointegration in US consumption data," Economics Working Papers 2001-6, School of Economics and Management, University of Aarhus.
- Boriss Siliverstovs, 2003. "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin 382, DIW Berlin, German Institute for Economic Research.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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