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

Cerrato, Mario, de Peretti, Christian and Stewart, Chris (2013) Is the consumption-income ratio stationary? Evidence from linear and non-linear panel unit root tests for OECD and non-OECD countries. The Manchester School, 81(1), pp. 102-120. ISSN (print) 1463-6786

Official URL: http://dx.doi.org/10.1111/j.1467-9957.2011.02272.x

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 crosssectional 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)

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