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Multicointegration in US consumption data
Siliverstovs, Boriss - 2003
The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …
Persistent link: https://www.econbiz.de/10011439261
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …
Persistent link: https://www.econbiz.de/10010518800
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, André Kallåk; Nymore, Ragnar - 2015 - This version May 8, 2015
the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …
Persistent link: https://www.econbiz.de/10010530531
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed "initial conditions problem," as well as the...
Persistent link: https://www.econbiz.de/10003824296
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Does the turbulence of the stock market terrify consumers? : evidence from a panel of U.S. States using pooled mean group estimation
Ebadi, Esmaeil - 2021
This paper elucidates the influence of stock market volatility on U.S. consumption using pooled mean group (PMG … market volatility on consumption are robust to the lag order, lag selection criteria, and outliers compared with the mean … group (MG) and the dynamic fixed effect (DFE) methods. I find that stock market volatility reduces total consumption …
Persistent link: https://www.econbiz.de/10012661246
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Consumption, personal income, financial wealth, housing wealth, and long-term interest rates : a panel cointegration approach for 50 US states
Kontana, Dimitra; Fountas, Stilianos - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 417-435
Persistent link: https://www.econbiz.de/10013334821
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Dynamics of U.S. State Cigarette Consumption : Evidence from Panel Error Correction Modeling
Goel, Rajeev K. - 2016
especially on the long-run equilibrium relationship between cigarette consumption and its determinants as well as the short …-run and long-run causal dynamics. We find the presence of cointegration with the long-run equilibrium, indicating the price … causal dynamics reveal bi-directional causality between cigarette consumption and its determinants. Some policy implications …
Persistent link: https://www.econbiz.de/10012996158
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Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
Treeck, Till van - 2008
Various deviations from the Permanent Income consumption model with rational expectations have been discussed in the … literature, including loss aversion and liquidity constraints. In the existing literature, these two types of consumption … asymmetry are usually considered as mutually exclusive. Using a single data set for US personal consumption, income and wealth …
Persistent link: https://www.econbiz.de/10003744543
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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A multiple break panel approach to estimating United States Phillips Curves
Russell, Bill; Banerjee, Anindya; Malki, Issam; … - 2010
Phillips curves have often been estimated without due attention to the underlying time series properties of the data. In particular, the consequences of inflation having discrete breaks in mean, for example caused by supply shocks and the corresponding responses of policymakers, have not been...
Persistent link: https://www.econbiz.de/10003951489