IDEAS home Printed from https://ideas.repec.org/a/eee/moneco/v21y1988i1p85-95.html

Integrated regressors and tests of the permanent-income hypothesis

Author

Listed:
  • Stock, James H.
  • West, Kenneth D.

Abstract

We use recent research on estimation and testing in the presence of unit roots to argue that Hall's (1978) t and F tests of whether consumption is predicted by lagged income, or by lags of consumption beyond the first, are asymptotically valid. A Monte Carlo experiment suggests that the asymptotic t and F distributions provide a good approximation to the actual finite sample distribution.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Stock, James H. & West, Kenneth D., 1988. "Integrated regressors and tests of the permanent-income hypothesis," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 85-95, January.
    • Handle: RePEc:eee:moneco:v:21:y:1988:i:1:p:85-95
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-3932(88)90047-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Brunila, Anne, 1997. "Current income and private consumption: Saving decisions: Testing the finite horizon model," Bank of Finland Research Discussion Papers 6/1997, Bank of Finland.
    2. Hannes Kaadu & Lenno Uuskula, 2004. "Liquidity Constrains and Ricardian Equivalence in Estonia," Bank of Estonia Working Papers 2004-7, Bank of Estonia, revised 10 Oct 2004.
    3. Brunila, Anne, 1996. "Fiscal policy and private consumption : Saving decisions : Evidence from Finland," Research Discussion Papers 28/1996, Bank of Finland.
    4. Brunila, Anne, 1997. "Current income and private consumption : Saving decisions : Testing the finite horizon model," Research Discussion Papers 6/1997, Bank of Finland.
    5. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    6. Sweeney, Richard J., 2007. "Fed intervention, dollar appreciation, and systematic risk," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 167-192, March.
    7. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
    8. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
    9. Takala, Kari, 1995. "Permanent income hypothesis and saving in Finland," Bank of Finland Research Discussion Papers 15/1995, Bank of Finland.
    10. Sarno, Lucio & Taylor, Mark P., 1998. "Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 221-242, April.
    11. Brunila, Anne, 1996. "Fiscal policy and private consumption: Saving decisions: Evidence from Finland," Bank of Finland Research Discussion Papers 28/1996, Bank of Finland.
    12. Yu, Ge, 2005. "Excess sensitivity of consumption using micro data in the UK," MPRA Paper 548, University Library of Munich, Germany, revised 2006.
    13. Giuseppe Nicoletti, 1991. "Consommation privée et endettement public en Italie et en Belgique : existe-t-il une relation stable ?," Revue de l'OFCE, Programme National Persée, vol. 37(1), pages 79-121.
    14. Bardsen, Gunnar, "undated". "Dynamic Modelling And The Demand For Narrow Money In Norway," Economic Research Papers 268479, University of Warwick - Department of Economics.
    15. Takala, Kari, 1995. "Permanent income hypothesis and saving in Finland," Research Discussion Papers 15/1995, Bank of Finland.
    16. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
    17. A. J. Aulton & C. T. Ennew & A. J. Rayner, 1997. "Efficiency Tests Of Futures Markets For Uk Agricultural Commodities," Journal of Agricultural Economics, Wiley Blackwell, vol. 48(1‐3), pages 408-424, January.
    18. Laurence Bloch & Françoise Maurel, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
    19. Wallace, Myles S & Choudhry, Taufiq, 1995. "The gold standard: Perfectly integrated world markets or slow adjustment of prices and interest rates?," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 349-371, June.
    20. Shabtai Donnenfeld & Alfred A. Haug, 2008. "Currency invoicing of US imports," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 184-198.
    21. Alan Viard, 1997. "How forecastable is consumption growth? New evidence on the Hall random walk hypothesis," Applied Economics, Taylor & Francis Journals, vol. 29(11), pages 1435-1446.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:moneco:v:21:y:1988:i:1:p:85-95. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505566 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.