The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers? wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative …

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a …

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

This thesis consists of an introductory part and three papers. <p> Paper [I] examines how taxes affect consumption of … significantly larger change in consumption than a producer price change, which is referred to as the signaling effect from taxation … in consumption than a producer price change. The empirical analysis is conducted by a US panel data study, during the …

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …