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Is real per capita state personal income stationary? New nonlinear, asymmetric panel‐data evidence
Author(s) -
Emirmahmutoglu Furkan,
Gupta Rangan,
Miller Stephen M.,
Omay Tolga
Publication year - 2020
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/boer.12209
Subject(s) - econometrics , economics , unit root , per capita income , panel data , personal income , per capita , asymmetry , nonlinear system , state (computer science) , estimation , demographic economics , macroeconomics , mathematics , physics , population , demography , management , algorithm , quantum mechanics , sociology
This 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.