| Titre | Tendances et cycles communs à la consommation et au revenu : implications pour le modèle de revenu permanent | |
|---|---|---|
| Auteur | Thomas Jobert | |
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Revue | Economie et prévision |
| Numéro | no 121, 1995/5 Comportements des ménages | |
| Rubrique / Thématique | Modélisation de la fonction de consommation macro-économique |
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| Page | 19-38 | |
| Résumé anglais |
Common Trends and Cycles in Consumer Spending and Income: Implications for the Permanent Income Model,
by Thomas Jobert.
The Engle and Kozicki formulation of cofeatures can be used to represent common trends-common cycles in a multivariate version of the Beveridge-Nelson distribution. We examine the common trends-common cycles structure for consumer spending and disposable income as implied by Hall's permanent income model and Flavin's excess sensitivity model. Using a VECM, we propose a method for estimating the cofeature vector as well as a test for the existence of cofeatures based on linear restrictions across equations. The two models are tested on France and the United States. Consumption is found to display excess sensitivity to income, but a specification test leads us to reject Flavin's alternative model. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1995_num_121_5_5756 |
