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

Mario Cerrato, Christian de Peretti and Chris Stewart

Working Papers from Business School - Economics, University of Glasgow

Abstract: This paper applies recently developed time series and heterogeneous panel nonlinear unit root tests to 24 OECD and 33 non-OECD countries’ consumption-income ratios over the period 1951–2003. This extends evidence provided in the recent literature to consider nonlinear adjustment in time series and panel unit root tests, and substantially expands both time series and cross sectional dimensions of data analysed. We find that there is nonlinear reversion to a mean or trend for just over half of OECD countries and just under half of non-OECD countries.

Keywords: consumption-income ratio; heterogeneous panel nonlinear unit root test (search for similar items in EconPapers)
JEL-codes: C12 C33 D12 (search for similar items in EconPapers)
Date: 2008-10
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2008_27

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