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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 (University La Sapienza of Rome)

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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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File URL: http://129.3.20.41/eps/em/papers/0509/0509009.pdf
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Paper provided by EconWPA in its series Econometrics with number 0509009.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 30 pages
Date of creation: 05 Sep 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0509009

Note: Type of Document - pdf; pages: 30
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Web page: http://129.3.20.41

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Related research
Keywords: Kalman filter; trend; cycles; cointegration; correlated components; state space models; unobserved components;

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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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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  18. Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society. [Downloadable!]
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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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    Other versions:
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