Is real per capita state personal income stationary? New nonlinear, asymmetric panel-data evidence

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Emirmahmutoğlu F., Gupta R., Miller S. M., Omay T.

Bulletin of Economic Research, vol.72, no.1, pp.50-62, 2020 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 72 Issue: 1
  • Publication Date: 2020
  • Doi Number: 10.1111/boer.12209
  • Journal Name: Bulletin of Economic Research
  • Journal Indexes: Social Sciences Citation Index (SSCI)
  • Page Numbers: pp.50-62
  • Keywords: asymmetry, cross-sectional dependence, nonlinear, panel unit root, sieve bootstrap, C12, C15, C23, UNIT-ROOT TEST, ECONOMIC TIME-SERIES, EXCHANGE-RATES, FLUCTUATIONS, HYPOTHESIS, TESTS
  • Ankara Haci Bayram Veli University Affiliated: Yes

Abstract

© 2019 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons LtdThis paper re-examines the stochastic properties of U.S. state real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel-data estimation. Including nonlinearity and asymmetry finds that 43 states exhibit stationary real per capita personal income whereas including only nonlinearity produces 42 states that exhibit stationarity. Stated differently, we find that two states exhibit nonstationary real per capita personal income when considering nonlinearity, asymmetry, and cross-sectional dependence.