Albertson, Kevin and Aylen, Jonathan (2009) Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function. Applied economics letters, 16 (3). pp. 267-271. ISSN 1350-4851Full text not available from this repository.
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.
|Additional Information:||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|
|Divisions:||Faculties > Faculty of Humanities, Languages and Social Science > Department of Economics|
|Date Deposited:||10 Feb 2010 11:50|
|Last Modified:||28 Nov 2016 11:54|
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