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Multicointegration in US consumption data

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  • Boriss Siliverstovs

Abstract

The 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.

Suggested Citation

  • Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, vol. 38(7), pages 819-833.
  • Handle: RePEc:taf:applec:v:38:y:2006:i:7:p:819-833
    DOI: 10.1080/00036840500398760
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    Cited by:

    1. Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020. "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
    2. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
    3. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    4. Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre, 2006. "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 721-739, December.
    5. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
    6. Gomez-Biscarri, Javier & Hualde, Javier, 2015. "A residual-based ADF test for stationary cointegration in I(2) settings," Journal of Econometrics, Elsevier, vol. 184(2), pages 280-294.

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    More about this item

    JEL classification:

    • 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; 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; State Space Models
    • 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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