A Reappraisal of Recent Tests of the Permanent Income Hypothesis PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Reappraisal of Recent Tests of the Permanent Income Hypothesis PDF full book. Access full book title A Reappraisal of Recent Tests of the Permanent Income Hypothesis by Charles R. Nelson. Download full books in PDF and EPUB format.
Author: Charles R. Nelson Publisher: ISBN: Category : Languages : en Pages :
Book Description
Hall (1978) showed that the permanent income hypothesis implies that consumption (1) follows a random walk, and (2) cannot be predicted by past income. Reexamination of Hall's data results in rejection of the random walk hypothesis in favor of the alternative hypothesis of positively autocorrelated changes. Evidently this is due to Hall's choice of a quadratic utility function. A logrithmic utility function implies a random walk in the log of consumption which is supported by the data. Hall reported that past income had a negative but insignificant relation to consumption. Changes in the log of income, however, do have a positive predictive relation to changes in the log of consumption. The adjustment of consumption to income seems to be spread over two quarters. Flavin's (1981) test of the theory is formally equivalent to Hall's except for assuming stationarity around a time trend. Mankiw and Shapiro (1984) have pointed out that the effect of detrending may be to tend to rejection of the theory when it is in fact correct. For Hall's data the effect of detrending is to reverse the sign of the coefficient on past income. Its magnitude is what the Mankiw-Shapiro analysis predicts under the permanent income hypothesis
Author: Charles R. Nelson Publisher: ISBN: Category : Languages : en Pages :
Book Description
Hall (1978) showed that the permanent income hypothesis implies that consumption (1) follows a random walk, and (2) cannot be predicted by past income. Reexamination of Hall's data results in rejection of the random walk hypothesis in favor of the alternative hypothesis of positively autocorrelated changes. Evidently this is due to Hall's choice of a quadratic utility function. A logrithmic utility function implies a random walk in the log of consumption which is supported by the data. Hall reported that past income had a negative but insignificant relation to consumption. Changes in the log of income, however, do have a positive predictive relation to changes in the log of consumption. The adjustment of consumption to income seems to be spread over two quarters. Flavin's (1981) test of the theory is formally equivalent to Hall's except for assuming stationarity around a time trend. Mankiw and Shapiro (1984) have pointed out that the effect of detrending may be to tend to rejection of the theory when it is in fact correct. For Hall's data the effect of detrending is to reverse the sign of the coefficient on past income. Its magnitude is what the Mankiw-Shapiro analysis predicts under the permanent income hypothesis
Author: James H. Stock Publisher: ISBN: Category : Consumption (Economics) Languages : en Pages : 13
Book Description
We use recent research on estimation and testing in the presence of unit roots to argue that Hall's (1978) t and F tests of whether consumption is predicted by lagged income, or by lags of consumption beyond the first, are asymptotically valid. A Monte Carlo experiment suggests that the asymptotic t and F distributions provide a good approximation to the actual finite sample distribution.
Author: Robert Ernest Hall Publisher: MIT Press ISBN: 9780262081979 Category : Business & Economics Languages : en Pages : 212
Book Description
The Rational Consumer brings together eight articles that represent key points in the development of Robert Hall's ideas on consumption over the past two decades. Since the late 1960s, Robert Hall's research has had a significant impact on the macroeconomic study of consumer behavior. The Rational Consumer brings together eight articles that represent key points in the development of Hall's ideas on consumption over the past two decades. In his introduction, Hall puts this work into perspective, tying together his ideas and pointing to how consumer behavior should work in the future given what he has discovered.Working within the standard intertemporal models of consumption - the overlapping generations model and the infinite lifetime model - Hall's contributions to methodology have been especially important. Particularly noteworthy was his challenge to the prevalent model in which current consumption was seen as deriving from expected future income. Hall argued that consumption was, instead, based upon the actual present discounted value of future income.ContentsIntroduction - The Allocation of Wealth among the Generations of a Family that Lasts Forever - A Theory of Inheritance - The Dynamic Effects of Fiscal Policy in an Economy with Foresight - Consumption Taxes versus Income Taxes: Implications for Economic Growth - Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence - The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households (with Frederic S. Mishkin) - Intertemporal Substitution in Consumption - Survey of Research on the Random Walk of Consumption - The Role of Consumption in Economic Fluctuations
Author: László Mátyás Publisher: Springer Science & Business Media ISBN: 9400901372 Category : Business & Economics Languages : en Pages : 944
Book Description
The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.
Author: Eram Hashim Publisher: ISBN: Category : Consumption (Economics) Languages : en Pages : 150
Book Description
Examines and tests a new version of economist Milton Friedman's permanent income hypothesis (PIH). Uses Ordinary Least Squares (OLS) to estimate a variation of Friedman's hypothesis based on data from a specific time period, 1968-1984. Introduces a new way of calculating permanent income.
Author: Charles R. Nelson
Author: Charles R. Nelson
Author: 
Author: James H. Stock
Author: Larry Sanford West
Author: Robert Ernest Hall
Author: Nissan Liviatan
Author: Nissan Liviation
Author: Joseph DeJuan
Author: László Mátyás
Author: Eram Hashim