Linear and nonlinear causality between changes in consumption and consumer attitudes
Adopting both linear and nonlinear Granger causality tests, we find consumer attitude indices of the University of Michigan's surveys are very useful in predicting consumption movements of the United States.
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References listed on IDEAS
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- Jason Bram & Sydney Ludvigson, 1997.
"Does consumer confidence forecast household expenditure?: A sentiment index horse race,"
9708, Federal Reserve Bank of New York.
- Jason Bram & Sydney Ludvigson, 1998. "Does consumer confidence forecast household expenditure? a sentiment index horse race," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 59-78.
- Gelper, S. & Lemmens, A. & Croux, C., 2007. "Consumer Sentiment and Consumer Spending : Decomposing the Granger Causal Relationship in the Time Domain," Other publications TiSEM 55ac7230-2985-41f1-a42c-7, Tilburg University, School of Economics and Management.
- Huh, Hyeon-seung, 2002. "GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries," Economics Letters, Elsevier, vol. 77(1), pages 93-99, September.
- Adrian W. Throop, 1992. "Consumer sentiment: its causes and effects," Economic Review, Federal Reserve Bank of San Francisco, pages 35-59.
- Sarah Gelper & Aurelie Lemmens & Christophe Croux, 2007. "Consumer sentiment and consumer spending: decomposing the Granger causal relationship in the time domain," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 1-11.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
- Gelper, Sarah & Croux, Christophe, 2007. "Multivariate out-of-sample tests for Granger causality," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3319-3329, April.
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