Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries

Mario Cerrato, Christian de Peretti and Chris Stewart

No 2008-46, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: This paper applies recently developed heterogeneous nonlinear 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 nonstationary. This extends evidence provided in the recent literature to consider both linear and nonlinear adjustment in panel unit root tests, to address the issue of cross-sectional dependence, and to substantially expand both time-series and cross sectional dimensions of the data analysed. We find that the majority (65%) of the series are nonstationary with slightly fewer OECD countries’ (61%) series exhibiting a unit root than non-OECD countries (68%).

Keywords: consumption-income ratio; heterogeneous panel nonlinear unit root test; cross-sectional dependence; OECD and non-OECD countries (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES (2013)
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