MMU Home | Prospectus | About MMU | A-Z Index | Contacts 
 


mmuch more
 
Search:
bullet
Browse
Collection All
bullet
bullet
bullet
bullet
bullet
Listed communities
bullet
bullet
bullet
bullet

espace at MMU > Faculties > Faculty of Humanities, Law and Social Science > Department of Economics > Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function.

Please use this identifier to cite or link to this item: http://hdl.handle.net/2173/91751
    Del.icio.us     LinkedIn     Citeulike     Connotea     Facebook     Stumble it!

SFX Query

Title: Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function.
Authors: Albertson, Kevin
Aylen, Jonathan
Citation: Applied economics letters, 2009, vol. 16, no. 3, pp. 267-271
Publisher: Routledge
Issue Date: 2009
URI: http://hdl.handle.net/2173/91751
DOI: 10.1080/13504850601018387
Additional Links: http://www.tandf.co.uk/journals/routledge/13504851.html
Abstract: Writing in this journal, Sumner (2004) advocates use of long lag lengths when conducting co-integration tests. Replication of Sumner's consumption model suggests long lag lengths are a mis-specification: the true underlying model is periodic. We test for periodically distributed unit roots - unit roots that differ with the season and vary with past behaviour. Co-integration between income and consumption, based on a periodic error correction model, is rejected. A PADL specification is preferred for modelling the income-consumption relationship, using seasonally unadjusted data.
Type: Article
Language: en
Description: This metadata relates to an electronic version of an article published in Applied economics letters, 2009, vol. 16, no. 3, pp. 267-271. Applied economics letters is available online at informaworldTM at http://www.informaworld.com/smpp/content~db=all?content=10.1080/13504850601018387
Keywords: Consumption
Income
Income tax
Income distribution
Profit
ISSN: 1350-4851
EISSN: 1466-4291
Appears in Collections: Department of Economics

Files in This Item:

There are no files associated with this item.



All Items in e-space are protected by copyright, with all rights reserved, unless otherwise indicated.

 

OR Logo Powered by Open Repository | Cookies
Valid XHTML 1.0!