Consumption and fractional differencing: old and new anomalies

A calculation of the stochastic properties of consumption when income follows a fractional stochastic process, showing how this may explain excess-smoothness results noted in previous studies.

MoreLess

Year of publication:	1990
Authors:	Haubrich, Joseph G.
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Consumption (Economics) \| Income \| Time-series analysis

More details

Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 9010
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005428404