Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries
AbstractThis paper applies recently developed time series and heterogeneous panel nonlinear unit root tests to 24 OECD and 33 non-OECD countries’ consumption-income ratios over the period 1951–2003. This extends evidence provided in the recent literature to consider nonlinear adjustment in time series and panel unit root tests, and substantially expands both time series and cross sectional dimensions of data analysed. We find that there is nonlinear reversion to a mean or trend for just over half of OECD countries and just under half of non-OECD countries.
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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2008_27.
Date of creation: Oct 2008
Date of revision:
consumption-income ratio; heterogeneous panel nonlinear unit root test;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-28 (All new papers)
- NEP-CBA-2008-10-28 (Central Banking)
- NEP-ECM-2008-10-28 (Econometrics)
- NEP-ORE-2008-10-28 (Operations Research)
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