Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 382
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Macroeconomics: Consumption; Saving; Wealth
- Thema
-
Cointegration
multicointegration
I(2) processes
consumption
Verbraucherausgaben
Verfügbares Einkommen
Kointegration
Vereinigte Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Siliverstovs, Boriss
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Siliverstovs, Boriss
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2003
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