Fisher, Lance A.; Huh, Hyeon-seung; Otto, Glenn - In: Journal of Macroeconomics 34 (2012) 4, pp. 1111-1124
Two structural cointegrated models of consumption, labor income and wealth are specified and estimated with US data using the approach of Pagan and Pesaran (2008). We find that consumption and labor income are weakly exogenous in the estimated reduced form model and show that this imposes...