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

Cerrato, M. , De Peretti, C. and Stewart, C. (2013) Is the consumption-income ratio stationary? Evidence from linear and non-linear panel unit root tests for OECD and non-OECD countries. Manchester School, 81(1), pp. 102-120. (doi: 10.1111/j.1467-9957.2011.02272.x)

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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).

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Cerrato, Professor Mario
Authors: Cerrato, M., De Peretti, C., and Stewart, C.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Manchester School
Publisher:Wiley-Blackwell Publishing Ltd.
ISSN:1463-6786
Published Online:26 February 2012

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