Stochastic implications of the life cycle consumption model under rational habit formation
AbstractHall  showed that the life cycle consumption hypothesis implies a first order autoregressive process for the marginal utility of consumption. This paper extends his results by showing that an appropriate pattern of rational habits will lead to an arbitrary autoregressive integrated moving average (ARIMA) process for consumption. Since the framework allows for consumption of durable goods, the analysis ex- tends the results of Mankiw .
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Bibliographic InfoPaper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (REL - Recherches Economiques de Louvain) with number 1996043.
Date of creation: 01 Sep 1996
Date of revision:
Other versions of this item:
- Winder, Carlo C.A. & Palm, Franz C., 1996. "Stochastic implications of the life cycle consumption model under rational habit formation," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5763, Maastricht University.
- B22 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Macroeconomics
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Champarnaud, Luc & Michel, Philippe, 2000. "Biens culturels, transmission de culture et croissance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 76(4), pages 501-520, dÃ©cembre.
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