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Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests

  • Dimitris Christopoulos

    ()

    (Department of Economic and Regional Development, Panteion University)

  • Eftymios Tsionas

    ()

    (Athens University of Economics and Business)

In 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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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2002)
Issue (Month): 12 ()
Pages: 1-5

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Handle: RePEc:ebl:ecbull:eb-02c20004
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  1. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  2. 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.
  3. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  4. Deaton, Angus S, 1977. "Involuntary Saving through Unanticipated Inflation," American Economic Review, American Economic Association, vol. 67(5), pages 899-910, December.
  5. Drobny, A & Hall, S G, 1989. "An Investigation of the Long-run Properties of Aggregate Non-durable Consumers' Expenditure in the United Kingdom," Economic Journal, Royal Economic Society, vol. 99(396), pages 454-60, June.
  6. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
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