Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process
While quarterly consumption data are known to be well fitted by an integrated first-order moving average process--IMA(1, 1)--with a positive coefficient, monthly consumption data are found to be well fitted by an IMA(1, 1) process with a negative coefficient. Without measurement errors, one implication is that, if R. Hall's (1978) random walk model of consumption behavior is true, then the agents' decision interval must be greater than a month. (In particular, this evidence rejects the possibility of continuously taken decisions.) Another implication is that, if consumption decisions are generated by an IMA(1, 1) process at intervals shorter than a month, the coefficient must be negative. The paper also discusses the case of monthly data corrupted by measurement errors. Copyright 1989 by MIT Press.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 71 (1989)
Issue (Month): 4 (November)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|