WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
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contrast, appears to be trend-stationary, which suggests it cannot account<br />
for the stochastic trend in consumption.<br />
Table 4<br />
Tests for unit roots – augmented Dickey-Fuller (ADF)<br />
and Phillips-Perron (PP) tests<br />
Variables<br />
Sample: 1963:01–1992:04<br />
ADF<br />
lags<br />
ADF*<br />
t–ratio<br />
PP<br />
t–ratio<br />
c 3 –1.34 –2.05<br />
y 1 –1.32 1.54<br />
p 2 –0.70 –0.66<br />
w 2 –2.06 –3.06<br />
h 2 –1.95 –2.81<br />
k 2 –3.50 –3.71<br />
k’ 3 –2.27 –3.10<br />
u 1 –2.27 –4.15<br />
Δc<br />
Δy<br />
Δp<br />
Δw<br />
Δh<br />
Δk<br />
2 –4.52 –13.85<br />
0 –13.34 –12.15<br />
2 –4.80 –9.63<br />
1 –9.59 –11.19<br />
1 –10.56 –11.03<br />
0 –9.28 –8.59<br />
Δk’<br />
2 –4.49 –14.76<br />
Δu<br />
0 –5.94 –5.08<br />
* The 5 per cent and 10 per cent critical values for the ADF and PP t-ratios are<br />
respectively –3.44 and –3.15.<br />
25
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