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Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non‐Linear Panel Unit Root Tests For Oecd And Non‐Oecd Countries

Author

Listed:
  • Mario Cerrato

    (University of Glasgow)

  • Christian de Peretti

    (ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Chris Stewart

    (London Metropolitan University)

Abstract

This paper applies recently developed heterogeneous non‐linear and linear panel unit root tests that account for cross‐sectional dependence to 24 OECD and 33 non‐OECD countries' consumption–income ratios over the period 1951–2003. We apply a recently developed methodology that facilitates the use of panel tests to identify which individual cross‐sectional units are stationary and which are non‐stationary. We find that the majority (78 per cent) of the series are non‐stationary with slightly fewer non‐OECD countries' (74 per cent) series exhibiting a unit root than OECD countries (83 per cent).

Suggested Citation

  • Mario Cerrato & Christian de Peretti & Chris Stewart, 2012. "Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non‐Linear Panel Unit Root Tests For Oecd And Non‐Oecd Countries," Post-Print hal-04875621, HAL.
    • Handle: RePEc:hal:journl:hal-04875621
    DOI: 10.1111/j.1467-9957.2011.02272.x
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    2. Apergis, Nicholas & Gupta, Rangan & Lau, Chi Keung Marco & Mukherjee, Zinnia, 2018. "U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 521-530.
    3. Holmes, Mark J. & Otero, Jesús, 2014. "Re-examining the Feldstein–Horioka and Sachs' views of capital mobility: A heterogeneous panel setup," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 1-11.
    4. Apergis, Nicholas & Lau, Marco Chi Keung, 2015. "Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market," Energy Economics, Elsevier, vol. 52(PA), pages 176-182.
    5. Holmes, Mark J. & Shen, Xin, 2013. "A note on the average propensity to consume, wealth and threshold adjustment," Economic Modelling, Elsevier, vol. 35(C), pages 309-313.
    6. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    7. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.
    8. Sakiru Adebola Solarin & Muhammad Shahbaz & Chris Stewart, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Applied Economics, Taylor & Francis Journals, vol. 50(38), pages 4122-4136, August.
    9. Mark J. HOLMES & Xin SHEN, 2015. "On Wealth Volatility, Asymmetries And The Average Propensity To Consume In The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 69-78.
    10. Thomas Goda & Chris Stewart & Alejandro Torres Garc�a, 2016. "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público 15247, Universidad EAFIT.
    11. Batten, Jonathan A. & Brzeszczynski, Janusz & Ciner, Cetin & Lau, Marco C.K. & Lucey, Brian & Yarovaya, Larisa, 2019. "Price and volatility spillovers across the international steam coal market," Energy Economics, Elsevier, vol. 77(C), pages 119-138.
    12. Nicholas Apergis & Rangan Gupta & Chi Keung Marco Lau & Zinnia Mukherjee, 2016. "An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure," Working Papers 201618, University of Pretoria, Department of Economics.

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