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Nonlinear adjustment to the mean reversion of consumption–income ratio

Elmi, Zahra (Mila) and Omid Ranjbar ()

Economic Modelling, 2013, vol. 35, issue C, 477-480

Abstract: This study utilizes a flexible Fourier stationary test, proposed by Becker et al. (2006) to investigate the mean reversion of consumption–income ratio in 16 OECD countries from 1960 to 2010. Empirical results from our flexible nonlinear stationary test show that the mean reversion hypothesis is not rejected for 12 of the 16 OECD countries.

Keywords: Consumption–income ratio; Mean reversion; Fourier stationary test (search for similar items in EconPapers)
JEL-codes: C12 E2 (search for similar items in EconPapers)
Date: 2013
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