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Testing the permanent income hypothesis using unit root quantile autoregression tests

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  • Fabio Augusto Reis Gomes

Abstract

In this article the covariate quantile autoregression approach was used to test whether consumption is a constant unit root process, as predicted by the Permanent Income Hypothesis (PIH). The evidence suggests that at low quantiles of the conditional quantile function of consumption the persistence of shocks are lower than that predicted by the PIH. This asymmetry is consistent with credit constraints and/or buffer-stock savings.

Suggested Citation

  • Fabio Augusto Reis Gomes, 2011. "Testing the permanent income hypothesis using unit root quantile autoregression tests," Applied Economics Letters, Taylor & Francis Journals, vol. 18(18), pages 1755-1758, December.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:18:p:1755-1758
    DOI: 10.1080/13504851.2011.562156
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    Cited by:

    1. Sena Durguner, 2018. "Variations in farm consumption and their relationship to income: an empirical investigation of Illinois farm households," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 990-1005, February.
    2. KARGI, Bilal, 2014. "Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012) [Evidence for Turkey's Economy Permanent Income Hypothesis: Time Series Analysis (2004-2012)]," MPRA Paper 55696, University Library of Munich, Germany.
    3. Hiroaki Hayakawa, 2020. "Consumer behavior in a monetary economy and smoothing of composite consumption," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(1), pages 89-122, March.
    4. Hiroaki Hayakawa, 2019. "Time Preferences, Intertemporal Optimization, and the Permanent Income-Life Cycle Hypothesis," Growth, Asian Online Journal Publishing Group, vol. 6(1), pages 1-11.

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