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Integrated Regressors and Tests of the Permanent Income Hypothesis / James H. Stock, Kenneth D. West.
- Format:
- Book
- Author/Creator:
- Stock, James H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2359.
- NBER working paper series no. w2359
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1987.
- Summary:
- We use recent research on estimation and testing in the presence of unit roots to argue that Hall's (1978) t and F tests of whether consumption is predicted by lagged income, or by lags of consumption beyond the first, are asymptotically valid. A Monte Carlo experiment suggests that the asymptotic t and F distributions provide a good approximation to the actual finite sample distribution.
- Notes:
- Print version record
- August 1987.
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