Author: Joseph P. DeJuan Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper utilizes relatively unexplored Canadian provincial-level data to investigate an old but still relevant question in macroeconomics as to whether consumption responds to income innovations in a manner consistent with the stochastic implications of the permanent income hypothesis (PIH). The empirical results obtained do not appear to be in accord with the PIH. Instead, consumption's response to income innovations is found to be much weaker than that predicted by PIH; in particular, the response displays an asymmetric pattern in the sense that it is much stronger for negative than positive income innovations. We interpret this evidence of asymmetry as indicative of the presence of liquidity constraints in provincial households.
Author: Tony S. Wirjanto Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper investigates whether there are variants of the permanent income model that are consistent with seasonally unadjusted quarterly postwar Canadian data. The analysis is based on a misspecification-test equation which nests the standard permanent income model. The results obtaineda re somewhatu nfavourablet o the permanent-incomeh ypothesis. The same results also apply to more general models in which the real interest rate is timevarying and the utility function is non-separable in consumption and the stock of durable goods.
Author: Saeed Moshiri Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The Rational Expectations Permanent Income Hypothesis implies that consumption follows a random walk. However, most empirical tests have rejected the hypothesis. Those empirical tests are based on linear models. If the data generating process is non-linear, conventional tests may not be able to pick up some of the randomness. As a result, inference based on conventional tests can be misleading. This paper tests for the presence of stochastic non-linearity in aggregate consumption of non-durable goods and services, using U.S. and Canadian data. The two major tests applied are a test devised by Brock, Dechert, and Scheinkman, and a test based on an Artificial Neural Network model. The results support (do not reject) the hypothesis that there is no non-linearity in the data. The forecast results, however, suggest that even though the linearity hypothesis is not rejected, the non-linear ANN model tends to outperform the ARIMA model over three different horizons.
Author: Tai-Hsin Huang Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This study re-evaluates the validity of the joint rational expectations - permanent income hypothesis under the framework of seasonal cointegration using seasonally unadjusted quarterly data from Austria, Canada and Taiwan. Evidence is found that the consumption change only depends on the innovations of the income and the unemployment rate changes, and that agents are rational in forming their expectations, i.e., the joint hypothesis is supported by the data used. However, with the same data set, a similar test based on non-seasonal cointegration tends to reject the joint hypothesis, since the test ignores completely the possible stochastic seasonalities that may contain important information, as has been pointed out by Wallis (1974), embodied in the data.
Author: Tony S. Wirjanto Publisher: ISBN: Category : Languages : en Pages :
Book Description
Various empirical specifications of the permanent income model are investigated using Canadian aggregate data. Tests for structural changes with known and unknown change point are applied to the models estimated by the generalized method of moments. The proportion of current income individuals is estimated significantly in the range of 0.26 -0.29, while the estimates of the intertemporal elasticity of substitution fall in the range of 0.06-0.08 and are statistically significant. Current income consumers appear to respond to labour income with a fraction of lag, and this fraction is significantly estimated at about 0.85. Lastly there appears to be a decline in liquidity constraints that reflects the financial deregulation in the 1980s. However there is no strong evidence to suggest a substantial long-term decline in the importance of liquidity constraints.
Author: R. Tiff Macklem Publisher: ISBN: 9780662225034 Category : Canada Languages : en Pages : 67
Book Description
This report develops a measure of aggregate private sector wealth in Canada that includes financial, physical, and human wealth, and examines the ability of this wealth measure to explain aggregate consumption. The relationship between consumption and wealth is explored both to gauge the usefulness of the wealth measures developed and to improve upon empirical consumption models for Canada. The study augments the standard EC consumption model with a comprehensive measure of wealth, thus partly bridging the gap between life cycle-permanent income consumption equations and the more empirically motivated EC consumption models based on disposable income.
Author: Statistics Canada Publisher: ISBN: Category : Mathematics Languages : en Pages : 416
Book Description
This publication shows readers how to design and conduct a census or sample survey. It explains basic survey concepts and provides information on how to create efficient and high quality surveys. It is aimed at those involved in planning, conducting or managing a survey and at students of survey design courses. This book contains the following information: formulating the survey objectives and design a questionnaire; things to consider when designing a survey (choosing between a sample or a census, defining the survey population, choosing which survey frame to use, possible sources of survey error); determining the sample size, allocate the sample across strata and select the sample; appropriate uses of survey data and methods of point and variance estimation in data analysis; data dissemination and disclosure control; using administrative data, particularly during the design and estimation phases; choosing a collection method (self-enumeration, personal interview or telephone interview, computer-assisted versus paper-based questionnaires); organizing and conducting data collection operations; processing data (all data handling activities between collection and estimation) and using quality control and quality assurance measures to minimize and control errors during various survey steps; and planning and managing a survey. This publication also includes a case study that illustrates the steps in developing a household survey, using the methods and principles presented in the book.
Author: Joseph P. DeJuan
Author: Tony S. Wirjanto
Author: Tony S. Wirjanto
Author: Saeed Moshiri
Author: Tai-Hsin Huang
Author: Tony S. Wirjanto
Author: John C. Wiginton
Author: R. Tiff Macklem
Author: Charlotte Ostergaard
Author: Statistics Canada