Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
TLDR
This paper showed that saving should be at least as good a predictor of declines in labor income as any other for ecast that can be constructed from publicly available information, even when income is stationary in first differ ences rather than levels.Abstract:
The permanent income hypothesis implies that people save because they rationally expect their permanent income to decline; they save "for a rainy day." It follows that saving should be at l east as good a predictor of declines in labor income as any other for ecast that can be constructed from publicly available information. Th e paper tests this hitherto ignored implication of the permanent inco me hypothesis, using quarterly aggregate data for the period 1953-84 in the United States. By contrast with much of the recent literature, the results here are valid when income is stationary in first differ ences rather than levels. Copyright 1987 by The Econometric Society.read more
Citations
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A simple estimator of cointegrating vectors in higher order integrated systems
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Cointegration and Tests of Present Value Models
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Understanding Risk and Return
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References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Book
Introduction to Statistical Time Series
TL;DR: In this paper, Fourier analysis is used to estimate the mean and autocorrelations of the Fourier spectral properties of a Fourier wavelet and the estimated spectrum of the wavelet.
Posted Content
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
Robert E. Hall,Robert E. Hall +1 more
TL;DR: In this paper, the marginal utility of consumption evolves according to a random walk with trend, and consumption itself should evolve in the same way, and the evidence supports a modified version of the life cycle permanent income hypothesis.
Posted Content
Cointegration and Tests of Present Value Models
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.
Journal ArticleDOI
Cointegration and Tests of Present Value Models
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.