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Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence

Listed author(s):
  • Furkan Emirmahmutoglu

    (Gazi University)

  • Rangan Gupta

    (University of Pretoria)

  • Stephen M. Miller

    (University of Nevada, Las Vegas and University of Connecticut)

  • Tolga Omay

    (Çankaya University)

This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data estimation. Including nonlinearity and asymmetry finds that 43 states exhibit stationary real per capita personal income whereas including only nonlinearity produces the 42 states that exhibit stationarity. Stated differently, we find that 2 states exhibit nonstationary real per capita personal income when considering nonlinearity, asymmetry, and cross-sectional dependence.

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File URL: http://web2.uconn.edu/economics/working/2016-20.pdf
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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2016-20.

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Length: 28 pages
Date of creation: Sep 2016
Handle: RePEc:uct:uconnp:2016-20
Note: Stephen Miller is the corresponding author
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University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063

Phone: (860) 486-4889
Fax: (860) 486-4463
Web page: http://www.econ.uconn.edu/

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  17. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Investigating business cycle asymmetry for the G7 countries: Evidence from over a century of data," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 583-591, October.
  18. Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005. "Breaking the panels: An application to the GDP per capita," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 159-175, 07.
  19. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
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