An Econometric Study of Private Consumption Expenditure in Sweden
A Consumption function based on the life-cycle hypothesis is estimated using Swedish anuual data for the period 1970-1998. Hendry`s general to specific approach is applied using an error correction model in order to arrive at the preferred equation. In order to confirm the estimated cointegrating relationship, the Johansen procedure is employed. The preferred equation displays a good fit over the sample period and diagnostic tests indicate that the parameters are robust over time. The long run properties and the dynamic response to shocks in the exogenous variable are evaluated using a system of simultaneous equations containing the preferred eauation and a disaggregated form of the savings identity. Results from the simulations are in accordance with intuition and consistent with the life-cycle hypothesis.
|Date of creation:||01 Dec 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 46-(0)8-453 59 00
Fax: 46-(0)8-453 59 80
Web page: http://www.konj.se/
More information through EDIRC
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.:
- Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
- Berg, Lennart & Bergstrom, Reinhold, 1995. " Housing and Financial Wealth, Financial Deregulation and Consumption--The Swedish Case," Scandinavian Journal of Economics, Wiley Blackwell, vol. 97(3), pages 421-39, September.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
- Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
- Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, December.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, June.
- Farebrother, R W, 1980. "The Durbin-Watson Test for Serial Correlation When There Is No Intercept in the Regression," Econometrica, Econometric Society, vol. 48(6), pages 1553-63, September.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Lyhagen, Johan, 1997. "The Effect of Precautionary Saving on Consumption in Sweden," Working Paper 58, National Institute of Economic Research.
When requesting a correction, please mention this item's handle: RePEc:hhs:nierwp:0070. 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: (Henrik Hellström)
If references are entirely missing, you can add them using this form.