Three Essays on the Application of Second Generation Cointegration Analysis in Time Series Econometrics
Metadata Field | Value | Language |
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dc.contributor.advisor | Kim, Hyeongwoo | |
dc.contributor.author | Gueye, Ghislain | |
dc.date.accessioned | 2017-07-31T21:12:17Z | |
dc.date.available | 2017-07-31T21:12:17Z | |
dc.date.issued | 2017-07-31 | |
dc.identifier.uri | http://hdl.handle.net/10415/5928 | |
dc.description.abstract | Frank (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.subject | Economics | en_US |
dc.title | Three Essays on the Application of Second Generation Cointegration Analysis in Time Series Econometrics | en_US |
dc.type | PhD Dissertation | en_US |
dc.embargo.status | NOT_EMBARGOED | en_US |
dc.contributor.committee | Beard, Randy | |
dc.contributor.committee | Thompson, Henry | |
dc.contributor.committee | Stern, Michael | |
dc.contributor.committee | Sorek, Gilad | |
dc.contributor.committee | Park, Yunmi |