|Title: ||Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function.|
|Citation: ||Applied economics letters, 2009, vol. 16, no. 3, pp. 267-271|
|Issue Date: ||2009 |
|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.|
|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|
|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.