Testing the Permanent Income Hypothesis Using Unit Root Quantile Autoregression Tests

In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of shocks are lower than that predicted by the PIH. This asymmetry is consistent with credit constraints and/or buffer-stock savings

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Year of publication:	2010
Authors:	Gomes, Fábio A.
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Einkommenshypothese \| Income hypothesis \| Einheitswurzeltest \| Unit root test \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis

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