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Three Essays on the Application of Second Generation Cointegration Analysis in Time Series Econometrics


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dc.contributor.advisorKim, Hyeongwoo
dc.contributor.authorGueye, Ghislain
dc.date.accessioned2017-07-31T21:12:17Z
dc.date.available2017-07-31T21:12:17Z
dc.date.issued2017-07-31
dc.identifier.urihttp://hdl.handle.net/10415/5928
dc.description.abstractFrank (2009) constructed a comprehensive panel of state-level income inequality measures using individual tax filing data from the Internal Revenue Service. Employing an array of cointegration exercises for the data, he reported a positive long-run relationship between income inequality and the real income per capita in the US. This paper questions the validity of his findings. First, we suggest a mis-specification problem in his approach regarding the order of integration in the inequality index, which shows evidence of nonstationarity only for the post-1980 data. Second, we demonstrate that his findings are not reliable because the panel cointegration test he used requires cross-section independence, which is inappropriate for the US state-level data. Employing panel tests that allow cross-section dependence, we find no evidence of cointegration between inequality and the real income.en_US
dc.subjectEconomicsen_US
dc.titleThree Essays on the Application of Second Generation Cointegration Analysis in Time Series Econometricsen_US
dc.typePhD Dissertationen_US
dc.embargo.statusNOT_EMBARGOEDen_US
dc.contributor.committeeBeard, Randy
dc.contributor.committeeThompson, Henry
dc.contributor.committeeStern, Michael
dc.contributor.committeeSorek, Gilad
dc.contributor.committeePark, Yunmi

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