Fractional cointegration in the consumption and income relationship using semiparametric techniques

This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are related in the long run throughout a fractional model.

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Year of publication:	2004-12-13
Authors:	Gil-Alana, Luis A.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 47, p. 1-8
Publisher:	AccessEcon
Subject:	Fractional cointegration

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010630358