IDEAS home Printed from https://ideas.repec.org/p/hhs/hastef/0328.html
   My bibliography  Save this paper

Smooth transitions in a UK consumption function

Author

Listed:
  • Eliasson, Ann-Charlotte

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This paper reconsiders the equilibrium correction model of nondurable consumption in the UK by Davidson et al. (1978), denoted DHSY. The DHSY model fails outside the original observation period and several studies claim that this is due to neglected nonlinearities or time-varying parameters. This paper will take both features into account simultaneously by using the methodology of smooth transition regressions (STR). The study is performed both for the original sample and for an extended one. It turns out that nonlinearities are present in both samples when keeping the original model specification. The resulting consumption functions are characterised by time-varying parameters rather than nonlinear relationships between the explanatory variables. The estimated nonlinear models encompass, and dominate in variance, their linear equivalents for each sample.

Suggested Citation

  • Eliasson, Ann-Charlotte, 1999. "Smooth transitions in a UK consumption function," SSE/EFI Working Paper Series in Economics and Finance 328, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0328
    as

    Download full text from publisher

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.tab.ps.zip
    File Function: Tables
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.tab.ps
    File Function: Tables
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.tab.pdf
    File Function: Tables
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.tab.pdf.zip
    File Function: Tables
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.pdf.zip
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.ps.zip
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0328.ps
    Download Restriction: no

    Citations

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


    Cited by:

    1. J├╝rgen Arns & Kaushik Bhattacharya, 2005. "Modelling Aggregate Consumption Growth with Time-Varying Parameters," Bonn Econ Discussion Papers bgse15_2005, University of Bonn, Germany.

    More about this item

    Keywords

    DHSY; dynamic model; econometric model building; encompassing; parameter constancy; smooth transition regression;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hhs:hastef:0328. 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: (Helena Lundin). General contact details of provider: http://edirc.repec.org/data/erhhsse.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.