Testing for unit roots with income distribution data
 Bernd Lucke
 … show all 1 hide
Rent the article at a discount
Rent now* Final gross prices may vary according to local VAT.
Get AccessAbstract
In this paper I test the unit root hypothesis for US log GNP using the information available in income distribution data. The percentile data of an income distribution are shown to follow the same autoregressive pattern as does mean income. Under the null hypothesis of a unit root log GNP is cointegrated with the percentile data. A sequence of augmented HEGYTests, however, presents strong evidence against the unit root hypothesis for the distribution data and hence for log GNP. Using a full information estimation procedure for the percentiles under the alternative yields an estimate of the autoregressive coefficient which is in principle testable by an approximate DickeyHaszaFuller test. The appropriate critical values are found by bootstrap methods. Again, inference is clearly unfavorable for the unit root hypothesis.
 Boswijk HP, Franses PH (1992) Testing for periodic integration. Report 9216A. Erasmus University Rotterdam
 Christiano, LJ (1992) Searching for a break in GNP. Journal of Business and Economic Statistics 10: pp. 237250
 Dickey, DA, Hasza, DP, Fuller, WA (1984) Testing for unit roots in seasonal time series. Journal of the American Statistical Association 79: pp. 355367
 Dickey, DA, Fuller, WA (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74: pp. 427431
 Durlauf SN (1989) Output persistence, economic structure, and the choice of stabilization policy. Brookings Papers on Economic Activity 69–136
 Godfrey, LG (1978) Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica 46: pp. 12931301
 Haan, J, Zelhorst, D (1993) Does output have a unit root?. New International Evidence, Applied Economics 25: pp. 953960
 Hall, RE (1978) Stochastic implications of the life cyclepermanent income hypothesis: Theory and Evidence. Journal of Political Economy 86: pp. 971987
 Hayes, K, Slottje, DJ, PorterHudak, S, Scully, G (1990) Is the size of income distribution a random walk?. Journal of Econometrics 43: pp. 213226
 Hylleberg, S, Engle, RF, Granger, CWJ, Yoo, BS (1990) Seasonal integration and cointegration. Journal of Econometrics 44: pp. 215238
 Kwiatkowski, D, Phillips, PCB, Schmidt, P, Shin, Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics 54: pp. 159178
 MacKinnon JG (1991) Critical values for cointegration tests. In: Engle RF, Granger CWJ (eds) Long Run Economic Relationships 267–276 Oxford
 Nelson, CR, Plosser, CI (1982) Trends and random walks in macroeconomic time series. Journal of Monetarys Economics 10: pp. 139162
 Osborn, DR (1988) Seasonality and habit persistence in a lifecycle model of consumption. Journal of Applied Econometrics 3: pp. 255266
 Osborn, DR (1991) The implications of periodically varying coefficients for seasonal time series processes. Journal of Econometrics 48: pp. 373384
 Phillips, PCB, Perron, P (1988) Testing for a unit root in time series regression. Biometrika 75: pp. 335346
 Perron, P (1989) The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57: pp. 13611401
 Pesando, JE (1979) On the random walk characteristics of short and longterm interest rates in an efficient market. Journal of Money, Credit, and Banking 11: pp. 457466
 Quah D (1990) International patterns of growth: I. Persistence in crosscountry disparities. Unpublished discussion paper, Department of Economics MIT and NBER
 Quah, D (1993) One business cycle and one trend from (Many), Many disaggregates. London School of Economics, London
 Rappoport, P, Reichlin, L (1989) Segmented trends and nonstationary time series. Economic Journal 99: pp. 168177
 Rudebusch, GD (1993) The uncertain unit root in real GNP. American Economic Review 83: pp. 264272
 Schwarz, G (1978) Estimating the dimension of a model. The Annals of Statistics 6: pp. 461464
 US Bureau of the Census, Current Population Reports: Consumer income, money income of households, families and persons in the US, various issues. Washington DC
 Zivot, E, Andrews, DWK (1992) Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistic 10: pp. 251270
 Title
 Testing for unit roots with income distribution data
 Journal

Empirical Economics
Volume 19, Issue 4 , pp 555573
 Cover Date
 19941201
 DOI
 10.1007/BF01205815
 Print ISSN
 03777332
 Online ISSN
 14358921
 Publisher
 PhysicaVerlag
 Additional Links
 Topics
 Keywords

 Unit roots
 income distribution
 HEGYtest
 C22
 Industry Sectors
 Authors

 Bernd Lucke ^{(1)}
 Author Affiliations

 1. Institut für Statistik und Ökonometrie, Department of Economics, Free University of Berlin, Boltzmannstraße 20, 14195, Berlin, Germany