An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for USA.These conclusions are reversed for Italy

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Year of publication:	2005-11-11
Authors:	Corradini, Riccardo
Institutions:	Society for Computational Economics - SCE

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Series:	Computing in Economics and Finance 2005.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2005 Number 28
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005132690