Tests of the life cycle - permanent income hypothesis in the presence of random walks: asymptotic theory and small sample interpretations
AbstractRecent literature on cointegration and unit roots has focused attention on the distribution of test statistics frequently used to test efficiency in rational expectations models. This paper concentrates on the permanent income hypothesis of real consumption. The authors illustrate, by using the proper asymptotic theory and small-sample approximations, the cases in which tests of such a hypothesis are biased towards rejection and cases where they have the correct sizes. Their results serve to interpret numerous Monte Carlo studies in the literature on this issue. Special emphasis is placed on the distinction between "weak" and "semistrong" rationality tests. Copyright 1988 by Royal Economic Society.
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 Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/772.
Length: 635 p.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.uc3m.es
Other versions of this item:
- Banerjee, Anindya & Dolado, Juan, 1988. "Tests of the Life Cycle-Permanent Income Hypothesis in the Presence of Random Walks: Asymptotic Theory and Small-Sample Interpretations," Oxford Economic Papers, Oxford University Press, vol. 40(4), pages 610-33, December.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Françoise Maurel & Laurence Bloch, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
- Banerjee, Anindya & Dolado, Juan & Galbraith, John W., 1990.
"Orthogonality tests with de-trended data : Interpreting Monte-Carlo results using Nagar expansions,"
Elsevier, vol. 32(1), pages 19-24, January.
- Dolado, Juan José & Banerjee, Anindya & Galbraith, John W., 1990. "Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3322, Universidad Carlos III de Madrid.
- Julia Campos & Neil R. Ericsson & David F. Hendry, 1993.
"Cointegration tests in the presence of structural breaks,"
International Finance Discussion Papers
440, Board of Governors of the Federal Reserve System (U.S.).
- Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Contact person).
If references are entirely missing, you can add them using this form.