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An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle

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Author Info
Riccardo Corradini () (NATIONAL ACCOUNTS ISTAT)

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Abstract

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for USA.These conclusions are reversed for Italy

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 28.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:28

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  5. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute. [Downloadable!]
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  6. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June. [Downloadable!] (restricted)
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  8. Christoph Schleicher, 2003. "Structural Time-Series Models with Common Trends and Common Cycles," Computing in Economics and Finance 2003 108, Society for Computational Economics.
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  21. Peter N. Ireland, 1995. "Using the permanent income hypothesis for forecasting," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 49-63. [Downloadable!]
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