Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states

DOI10.1515/SNDE-2020-0057OpenAlexW3169043884MaRDI QIDQ2700551

Stilianos Fountas, Dimitra Kontana

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0057

zbMATH Keywords

Granger causalityconsumptionpanel cointegrationwealth effectshousing wealth10-year treasury constant maturity ratefinancial wealth

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• xtwest

Cites Work

• Testing for unit roots in heterogeneous panels.
• Assessing cross-sectional correlation in panel data
• The Oxford Handbook of Panel Data
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• The Consumption-Wealth Ratio under Asymmetric Adjustment
• Canonical Cointegrating Regressions
• Automatic Lag Selection in Covariance Matrix Estimation
• Macroeconomic Expectations of Households and Professional Forecasters
• The distribution of wealth and the marginal propensity to consume
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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