Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
28 Pages Posted: 28 Jun 2015
Date Written: June 26, 2015
This paper re-examines the stochastic properties of US 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 the 42 states that exhibit stationarity. Stated differently, we find that 2 states exhibit nonstationary real per capita personal income when considering nonlinearity, asymmetry, and cross-sectional dependence.
Keywords: Nonlinear, Panel Unit Root, Asymmetry, Cross-Sectional Dependence, Sieve Bootstrap
JEL Classification: C12, C15, C23
Suggested Citation: Suggested Citation