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Does Consumption Take a Random Walk? Some Evidence from Macroeconomic Forecasting Data

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  • Jaeger, Albert

Abstract

Professional forecasts of aggregate U.S. consumption series strongly reject Robert E. Hall's (1978) random walk hypothesis. Band spectrum regressions show that low-frequency variations in growth ra tes of expenditures on nondurables and services, defined as cycles takin g more than two years to complete, primarily account for the rejection. Consumption growth and professional forecasts of GNP growth are also closely related at the low but not at the high frequencies. Liquidi ty constraints or durable characteristics of consumption goods may both explain the reported findings. Copyright 1992 by MIT Press.

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  • Jaeger, Albert, 1992. "Does Consumption Take a Random Walk? Some Evidence from Macroeconomic Forecasting Data," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 607-614, November.
    • Handle: RePEc:tpr:restat:v:74:y:1992:i:4:p:607-14
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    Cited by:

    1. Vipul Bhatt & N. Kundan Kishor & Hardik Marfatia, 2020. "Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 257-284, April.
    2. Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.

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