IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON‐LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON‐OECD COUNTRIES*

Mario Cerrato, Christian de Peretti () and Chris Stewart
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Mario Cerrato: University of Glasgow
Christian de Peretti: ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Abstract: This paper applies recently developed heterogeneous non‐linear 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 non‐stationary. We find that the majority (78 per cent) of the series are non‐stationary with slightly fewer non‐OECD countries' (74 per cent) series exhibiting a unit root than OECD countries (83 per cent).

Date: 2012-02-26
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Published in Manchester School, 2012, 81 (1), pp.102-120. ⟨10.1111/j.1467-9957.2011.02272.x⟩

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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)
Working Paper: Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04875621

DOI: 10.1111/j.1467-9957.2011.02272.x

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