Cerrato, Mario and Peretti, Christian de and Stewart, Chris (2011) Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (09). pp. 1-22.
CentreforEMEABankingFinanceAndEconomicsWorkingPaperSeries No.09 11.pdf - Published Version
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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 addresst he 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%).
|Uncontrolled Keywords:||Centre for EMEA Banking, Finance and Economics Working Paper Series, consumption-income ratio, heterogeneous panel nonlinear unit root test, crosssectional dependence, OECD and non-OECD countries, Organisation for Economic Co-operation and Development.|
|Subjects:||300 Social sciences > 330 Economics|
|Department:||Guildhall School of Business and Law|
|Depositing User:||David Pester|
|Date Deposited:||17 Apr 2015 15:06|
|Last Modified:||20 Apr 2015 14:52|
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