This paper applies recently developed heterogeneous non-linear and linear panel unit root tests that account for cross-sectional dependence to 24 OECD and 33 non-OECD countries' consumption–income ratios over the period 1951–2003. We apply a recently developed methodology that facilitates the use of panel tests to identify which individual cross-sectional units are stationary and which are non-stationary. We find that the majority (78 per cent) of the series are non-stationary with slightly fewer non-OECD countries' (74 per cent) series exhibiting a unit root than OECD countries (83 per cent).