Multicointegration in US consumption data

Boriss Siliverstovs

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The present paper 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, we exploit 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. We apply recently developed I(2) techniques for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in this simple bivariate model.

Keywords: Cointegration; multicointegration; I(2) processes; consumption. (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C32 C51 E21 (search for similar items in EconPapers)
Pages: 26
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Multicointegration in US consumption data (2006)
Working Paper: Multicointegration in US Consumption Data (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:aarhec:2001-6

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