AbstractAggregation in the presence of data processing lags distorts the information content of data, violating orthogonality restrictions that hold at the individual level. Though the phenomenon is general, it is illustrated here for the life cycle-permanent model. Cross-section and pooled-panel data induce information-aggregation bias akin to that in aggregate time series. Calculations show that information-aggregation can seriously bias tests of the life cycle model on aggregate time series, cross-section, and pooled-panel data.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of Richmond in its series Working Paper with number 91-06.
Date of creation: 1991
Date of revision:
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert B. Barsky & N. Gregory Mankiw & Stephen P. Zeldes, 1987.
"Ricardian Consumers With Keynesian Propensities,"
NBER Working Papers
1400, National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & N. Gregory Mankiw, 1984.
"Trends, Random Walks, and Tests of the Permanent Income Hypothesis,"
Cowles Foundation Discussion Papers
725, Cowles Foundation for Research in Economics, Yale University.
- Gregory Mankiw, N. & Shapiro, Matthew D., 1985. "Trends, random walks, and tests of the permanent income hypothesis," Journal of Monetary Economics, Elsevier, vol. 16(2), pages 165-174, September.
- John Y. Campbell & N. Gregory Mankiw, 1991.
"Permanent Income, Current Income, and Consumption,"
NBER Working Papers
2436, National Bureau of Economic Research, Inc.
- Zeldes, Stephen P, 1989.
"Consumption and Liquidity Constraints: An Empirical Investigation,"
Journal of Political Economy,
University of Chicago Press, vol. 97(2), pages 305-46, April.
- Stephen Zeldes, . "Consumption and Liquidity Constraints: An Empirical Investigation," Rodney L. White Center for Financial Research Working Papers 24-85, Wharton School Rodney L. White Center for Financial Research.
- Stephen P. Zeldes, . "Consumption and Liquidity Constraints: An Empirical Investigation," Rodney L. White Center for Financial Research Working Papers 16-88, Wharton School Rodney L. White Center for Financial Research.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Fumio Hayashi, 1984.
"The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data,"
NBER Working Papers
1305, National Bureau of Economic Research, Inc.
- Hayashi, Fumio, 1985. "The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data," The Quarterly Journal of Economics, MIT Press, vol. 100(4), pages 1083-1113, November.
- MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
- Robert E. Hall, 1987. "Consumption," NBER Working Papers 2265, National Bureau of Economic Research, Inc.
- John Y. Campbell & Angus Deaton, 1987. "Is Consumption Too Smooth?," NBER Working Papers 2134, National Bureau of Economic Research, Inc.
- Flavin, Marjorie A, 1981. "The Adjustment of Consumption to Changing Expectations about Future Income," Journal of Political Economy, University of Chicago Press, vol. 89(5), pages 974-1009, October.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (William Perkins).
If references are entirely missing, you can add them using this form.