Long lags or seasonal mis-specification? A note on co-integration testing and the consumption function
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.
Year of publication: |
2009
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Authors: | Albertson, Kevin ; Aylen, Jonathan |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 3, p. 267-271
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Publisher: |
Taylor & Francis Journals |
Saved in:
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