STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Análise Econômica (Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/43018 |
Resumo: | This paper investigates the stationarity of the consumption-income ratio for 11 countries in Latin America and the United States in the period 1951-2010. Initially, it is tested the existence of multiple structural breaks at unknown dates in the trend function of consumption-income ratio. The test used, suggested by Perron and Yabu (2009) and Kejriwal and Perron (2010), is robust to the fact that the noise component of the time series is stationary or integrated. Then, it is employed the unit root tests proposed by Carrion-i-Silvestre et al. (2009), which allows for multiple breaks in the level and slope of the trend function. The results indicate the presence of two breaks in the trend function of the consumption-income ratio for most of the economies analyzed. The exceptions are Colombia and Paraguay, which have only one break. In the US case, the hypothesis of no structural break in the trend function of the parameters of the average propensity to consume cannot be rejected. Regarding the order of integration of consumption-income ratio, the results indicate that this variable is not stationary for all countries in the sample, with the exception of Peru. |
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STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATESQUEBRAS ESTRUTURAIS E ESTACIONARIEDADE DA RAZÃO CONSUMO-RENDA: NOVAS EVIDÊNCIAS PARA AMÉRICA LATINA E ESTADOS UNIDOSConsumption-income ratioStructural breaksUnit root testsC22C12E21Razão consumo-rendaQuebras estruturaisTestes de raiz unitáriaC22C12E21This paper investigates the stationarity of the consumption-income ratio for 11 countries in Latin America and the United States in the period 1951-2010. Initially, it is tested the existence of multiple structural breaks at unknown dates in the trend function of consumption-income ratio. The test used, suggested by Perron and Yabu (2009) and Kejriwal and Perron (2010), is robust to the fact that the noise component of the time series is stationary or integrated. Then, it is employed the unit root tests proposed by Carrion-i-Silvestre et al. (2009), which allows for multiple breaks in the level and slope of the trend function. The results indicate the presence of two breaks in the trend function of the consumption-income ratio for most of the economies analyzed. The exceptions are Colombia and Paraguay, which have only one break. In the US case, the hypothesis of no structural break in the trend function of the parameters of the average propensity to consume cannot be rejected. Regarding the order of integration of consumption-income ratio, the results indicate that this variable is not stationary for all countries in the sample, with the exception of Peru.Este trabalho investiga a estacionariedade da razão consumo-renda para 11 países da América Latina e os Estados Unidos no período de 1951 a 2010. Inicialmente, testa-se a existência de múltiplas quebras estruturais em datas desconhecidas na função tendência da razão consumo-renda. O teste utilizado, sugerido por Perron e Yabu (2009) e Kejriwal e Perron (2010), é robusto ao fato do componente de ruído da série temporal ser estacionário ou integrado. Em seguida, empregam-se os testes de raiz unitária propostos por Carrion-i-Silvestre et al. (2009), que permite múltiplas quebras no nível e na inclinação da função tendência. Os resultados indicam a presença de duas quebras na função tendência da razão consumo-renda para a maior parte das economias analisadas. As exceções são a Colômbia e o Paraguai, que apresentam apenas uma quebra. No caso dos Estados Unidos, a hipótese de ausência de quebra estrutural dos parâmetros da função tendência da propensão média a consumir não pode ser rejeitada. Com relação à ordem de integração da razão consumo-renda, os resultados indicam que essa variável é não estacionária para todos os países da amostra, com exceção do Peru.UFRGS2015-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/4301810.22456/2176-5456.43018Análise Econômica; Vol. 33 No. 64 (2015): setembro de 2015Análise Econômica; v. 33 n. 64 (2015): setembro de 20152176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/43018/34914Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessSilva, Ana Cláudia Annegues daCarvalho, Patrícia Soares de AraújoAragón, Edilean Kleber da Silva Bejarano2015-09-01T23:17:54Zoai:seer.ufrgs.br:article/43018Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2015-09-01T23:17:54Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES QUEBRAS ESTRUTURAIS E ESTACIONARIEDADE DA RAZÃO CONSUMO-RENDA: NOVAS EVIDÊNCIAS PARA AMÉRICA LATINA E ESTADOS UNIDOS |
title |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
spellingShingle |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES Silva, Ana Cláudia Annegues da Consumption-income ratio Structural breaks Unit root tests C22 C12 E21 Razão consumo-renda Quebras estruturais Testes de raiz unitária C22 C12 E21 |
title_short |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
title_full |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
title_fullStr |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
title_full_unstemmed |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
title_sort |
STRUCTURAL BREAKS AND STATIONARITY OF THE CONSUMPTION-INCOME RATIO: NEW EVIDENCE FOR LATIN AMERICA AND THE UNITED STATES |
author |
Silva, Ana Cláudia Annegues da |
author_facet |
Silva, Ana Cláudia Annegues da Carvalho, Patrícia Soares de Araújo Aragón, Edilean Kleber da Silva Bejarano |
author_role |
author |
author2 |
Carvalho, Patrícia Soares de Araújo Aragón, Edilean Kleber da Silva Bejarano |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Silva, Ana Cláudia Annegues da Carvalho, Patrícia Soares de Araújo Aragón, Edilean Kleber da Silva Bejarano |
dc.subject.por.fl_str_mv |
Consumption-income ratio Structural breaks Unit root tests C22 C12 E21 Razão consumo-renda Quebras estruturais Testes de raiz unitária C22 C12 E21 |
topic |
Consumption-income ratio Structural breaks Unit root tests C22 C12 E21 Razão consumo-renda Quebras estruturais Testes de raiz unitária C22 C12 E21 |
description |
This paper investigates the stationarity of the consumption-income ratio for 11 countries in Latin America and the United States in the period 1951-2010. Initially, it is tested the existence of multiple structural breaks at unknown dates in the trend function of consumption-income ratio. The test used, suggested by Perron and Yabu (2009) and Kejriwal and Perron (2010), is robust to the fact that the noise component of the time series is stationary or integrated. Then, it is employed the unit root tests proposed by Carrion-i-Silvestre et al. (2009), which allows for multiple breaks in the level and slope of the trend function. The results indicate the presence of two breaks in the trend function of the consumption-income ratio for most of the economies analyzed. The exceptions are Colombia and Paraguay, which have only one break. In the US case, the hypothesis of no structural break in the trend function of the parameters of the average propensity to consume cannot be rejected. Regarding the order of integration of consumption-income ratio, the results indicate that this variable is not stationary for all countries in the sample, with the exception of Peru. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-09-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/43018 10.22456/2176-5456.43018 |
url |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/43018 |
identifier_str_mv |
10.22456/2176-5456.43018 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/43018/34914 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Análise Econômica info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Análise Econômica |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
UFRGS |
publisher.none.fl_str_mv |
UFRGS |
dc.source.none.fl_str_mv |
Análise Econômica; Vol. 33 No. 64 (2015): setembro de 2015 Análise Econômica; v. 33 n. 64 (2015): setembro de 2015 2176-5456 0102-9924 reponame:Análise Econômica (Online) instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
Análise Econômica (Online) |
collection |
Análise Econômica (Online) |
repository.name.fl_str_mv |
Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
||rae@ufrgs.br |
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1799766267462156288 |