Fractional cointegration in the consumption and income relationship using semiparametric techniques

Luis Gil-Alana

Economics Bulletin, 2004, vol. 3, issue 47, 1-8

Abstract: This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are related in the long run throughout a fractional model.

Keywords: Fractional; cointegration (search for similar items in EconPapers)
JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2004-12-13
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