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:	2005-09-05
Authors:	Corradini, Riccardo
Institutions:	EconWPA
Subject:	Kalman filter \| trend \| cycles \| cointegration \| correlated components \| state space models \| unobserved components

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 30 30 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005407948