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

Author

Listed:
  • Dimitris Christopoulos

    () (Department of Economic and Regional Development, Panteion University)

  • Eftymios Tsionas

    () (Athens University of Economics and Business)

Abstract

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).

Suggested Citation

  • Dimitris Christopoulos & Eftymios Tsionas, 2002. "Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests," Economics Bulletin, AccessEcon, vol. 3(12), pages 1-5.
  • Handle: RePEc:ebl:ecbull:eb-02c20004
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    References listed on IDEAS

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    1. 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.
    2. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    3. Charles Yuji Horioka, 2000. "A Cointegration Analysis of the Impact of the Age Structure of the Population on the Household Saving Rate in Japan," The Review of Economics and Statistics, MIT Press, vol. 79(3), pages 511-516, August.
    4. Deaton, Angus S, 1977. "Involuntary Saving through Unanticipated Inflation," American Economic Review, American Economic Association, vol. 67(5), pages 899-910, December.
    5. 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.
    6. 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 454-460, June.
    7. 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.
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    Citations

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    Cited by:

    1. Solarin, Sakiru Adebola & Shahbaz, Muhammad & Stewart, Chris, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Economics Discussion Papers 2018-2, School of Economics, Kingston University London.
    2. repec:rjr:romjef:v::y:2017:i:2:p:109-123 is not listed on IDEAS

    More about this item

    Keywords

    Consumption-Income Ratio Panel Unit Root Tests Assymetric Unit Root Tests TAR Models;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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