Multicointegration in US consumption data

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and the stock of consumers? wealth, which can be considered as cumulative past discrepancies between the flows of income and expenditure, on the other hand, can be thought of as a stock-flow model, in which multicointegration is likely to occur. We apply recently developed I(2) techniques for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data.

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Year of publication:	2003
Authors:	Siliverstovs, Boriss
Publisher:	Berlin : Deutsches Institut für Wirtschaftsforschung (DIW)
Subject:	Verbraucherausgaben \| Verfügbares Einkommen \| Kointegration \| Vereinigte Staaten \| Cointegration \| multicointegration \| I(2) processes \| consumption

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Series:	DIW Discussion Papers ; 382
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	850996171 [GVK] hdl:10419/18138 [Handle] RePEc:diw:diwwpp:dp382 [RePEc]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E21 - Consumption; Saving
Source:	EconStor