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Habit Formation: Deep and Uncertain

Author

Listed:
  • Terence Tai-Leung Chong

    (The Chinese University of Hong Kong)

  • Guoxin Liu

    (York Uninversity)

  • Isabel Kit-Ming Yan

    (City University of hong Kong)

Abstract

Most of the existing structural-change models presume that the impact of a change is instantaneous and occurs at the same time for all individuals. In this paper, we develop a new structural-change model to measure the lag length between the time when an economic crisis breaks out and the time when the impact is transmitted to various economic sectors. Our model allows different transmission lags for individuals with heterogenous characteristics. Simulation results for the performance of the estimators are reported.

Suggested Citation

  • Terence Tai-Leung Chong & Guoxin Liu & Isabel Kit-Ming Yan, 2007. "Habit Formation: Deep and Uncertain," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-06c20066
    as

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    References listed on IDEAS

    as
    1. Chong, Terence Tai-Leung, 2001. "Structural Change In Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 17(1), pages 87-155, February.
    2. Terence Tai-Leung Chong, 2003. "Generic consistency of the break-point estimator under specification errors," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 167-192, June.
    3. Eiji Kurozumi, 2005. "Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 181-206, April.
    4. Stoker, Thomas M, 1993. "Empirical Approaches to the Problem of Aggregation Over Individuals," Journal of Economic Literature, American Economic Association, vol. 31(4), pages 1827-1874, December.
    5. repec:fth:simfra:95-08 is not listed on IDEAS
    6. Terence Tai-Leung Chong, 2006. "The polynomial aggregated AR(1) model," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 98-122, March.
    7. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    8. Forni, Mario & Lippi, Marco, 1997. "Aggregation and the Microfoundations of Dynamic Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198288008, Decembrie.
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    10. David Andolfatto & Glenn MacDonald, 1998. "Technology Diffusion and Aggregate Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(2), pages 338-370, April.
    11. Marco Lippi & Lucrezia Reichlin, 1994. "Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle," Review of Economic Studies, Oxford University Press, vol. 61(1), pages 19-30.
    12. Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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