The stationarity of consumption-income ratios: Evidence from minimum LM unit root testing

Previous research concerning the stationarity of the consumption-income ratio is extended via the application of the minimum LM unit root tests of Lee and Strazicich (2003) [Lee, J. and Strazicich, M., 2003. 'Minimum LM unit root test with two structural breaks', Review of Economics and Statistics, 85, 1083-1089]. It is found that incorporation of structural change under the null reverses earlier findings of non-stationarity, with the unit root hypothesis rejected for all 20 OECD economies examined.