Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests
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).
Volume (Year): 3 (2002)
Issue (Month): 12 ()
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- Harris, Richard D. F. & Tzavalis, Elias, 1999.
"Inference for unit roots in dynamic panels where the time dimension is fixed,"
Journal of Econometrics,
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- 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 631-652, Special I. Full references (including those not matched with items on IDEAS)
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