Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function.

2.50
Hdl Handle:
http://hdl.handle.net/2173/91751
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
Publication 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

Full metadata record

DC FieldValue Language
dc.contributor.authorAlbertson, Kevinen
dc.contributor.authorAylen, Jonathanen
dc.date.accessioned2010-02-10T11:50:21Z-
dc.date.available2010-02-10T11:50:21Z-
dc.date.issued2009-
dc.identifier.citationApplied economics letters, 2009, vol. 16, no. 3, pp. 267-271en
dc.identifier.issn1350-4851-
dc.identifier.doi10.1080/13504850601018387-
dc.identifier.urihttp://hdl.handle.net/2173/91751-
dc.descriptionThis 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=10.1080/13504850601018387en
dc.description.abstractWriting 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.en
dc.language.isoenen
dc.publisherRoutledgeen
dc.relation.urlhttp://www.tandf.co.uk/journals/routledge/13504851.htmlen
dc.subjectConsumptionen
dc.subjectIncomeen
dc.subjectIncome taxen
dc.subjectIncome distributionen
dc.subjectProfiten
dc.titleLong lags or seasonal mis-specification? A note on co-integration testing and the consumption function.en
dc.typeArticleen
dc.identifier.eissn1466-4291-
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