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.