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Dimitris Christopoulos and Eftymios Tsionas
''Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests''
( 2002, Vol. 3 No.12 )
In this paper we test the stationarity properties of the consumption-income ratio for a sample of 14 European Union countries over the period 1960-1999 utilizing recent advances in panel unit root and asymmetric unit root tests. We find that a failure to take account of asymmetries, would imply I(1) consumption income ratio although unit root tests based on TAR models indicate stationarity in at least one regime. This result provides more evidence in relation to Sarantis and Stewart (Economics Letters, 1999) who found that the consumption-income ratio is I(1).
Keywords: Consumption-Income Ratio Panel Unit Root Tests Assymetric Unit Root Tests TAR Models
JEL: C2 - Single Equation Models; Single Variables: General
E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment: General (includes Measurement and Data)
Manuscript Received : Jul 04 2002 Manuscript Accepted : Jul 06 2002

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