Consumption and fractional differencing: old and new anomalies
A calculation of the stochastic properties of consumption when income follows a fractional stochastic process, showing how this may explain excess-smoothness results noted in previous studies.
|Date of creation:||1990|
|Contact details of provider:|| Postal: 1455 East 6th St., Cleveland OH 44114|
Web page: http://www.clevelandfed.org/
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Francis X. Diebold & Glenn D. Rudebusch, 1989.
"Is consumption too smooth? Long memory and the Deaton paradox,"
Finance and Economics Discussion Series
57, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
- Joseph G. Haubrich & Andrew W. Lo, "undated".
"The Sources and Nature of Long-Term Memory in the Business Cycle,"
Rodney L. White Center for Financial Research Working Papers
5-89, Wharton School Rodney L. White Center for Financial Research.
- Joseph G. Haubrich & Andrew W. Lo, 1989. "The Sources and Nature of Long-term Memory in the Business Cycle," NBER Working Papers 2951, National Bureau of Economic Research, Inc.
- Joseph G. Haubrich & Andrew W. Lo, "undated". "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 05-89, Wharton School Rodney L. White Center for Financial Research.
- Joseph G. Haubrich & Andrew W. Lo, 1991. "The sources and nature of long-term memory in the business cycle," Working Paper 9116, Federal Reserve Bank of Cleveland.
- Campbell, John & Deaton, Angus, 1989.
"Why Is Consumption So Smooth?,"
3221494, Harvard University Department of Economics.
- Stephen P. Zeldes, 1989. "Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence," The Quarterly Journal of Economics, Oxford University Press, vol. 104(2), pages 275-298.
- Peter C.B. Phillips & Pierre Perron, 1986.
"Testing for a Unit Root in Time Series Regression,"
Cowles Foundation Discussion Papers
795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Quah, Danny, 1990.
"Permanent and Transitory Movements in Labor Income: An Explanation for "Excess Smoothness" in Consumption,"
Journal of Political Economy,
University of Chicago Press, vol. 98(3), pages 449-475, June.
- Quah, D., 1989. "Permanent And Transitory Movements In Labor Income: An Explanation For "Excess Smoothness" In Consumption," Working papers 535, Massachusetts Institute of Technology (MIT), Department of Economics.
- West, Kenneth D., 1988.
"The insensitivity of consumption to news about income,"
Journal of Monetary Economics,
Elsevier, vol. 21(1), pages 17-33, January.
- Kenneth D. West, 1987. "The Insensitivity of Consumption to News About Income," NBER Working Papers 2252, National Bureau of Economic Research, Inc.
- Alan J. Auerbach & Kevin Hassett, 1989.
"Corporate Savings and Shareholder Consumption,"
NBER Working Papers
2994, National Bureau of Economic Research, Inc.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Flavin, Marjorie A, 1981. "The Adjustment of Consumption to Changing Expectations about Future Income," Journal of Political Economy, University of Chicago Press, vol. 89(5), pages 974-1009, October.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
When requesting a correction, please mention this item's handle: RePEc:fip:fedcwp:9010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (4D Library)
If references are entirely missing, you can add them using this form.