This paper reports an empirical application of new Baynesian methodology to Australian data on consumption, income … nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical … the classical test results are mixed. Our empirical results show that real private consumption expenditure and household …

's) and Johansen-type error correction models (ECM's) allowing for the presence of stochastic trends and cointegration …

number of variables in the system and r is the dimension of the cointegration space. These results help to explain simulation …

Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration … space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration …

systems spectral regression procedure to test the PIH that accommodates stochastic trends in the consumption and income series … empirical estimates of the consumption function and tests of the PIH based on systems spectral regression methods are reported … for U.S. aggregate consumption and income data over the period 1948-1990. The empirical results provide partial support …

It is widely claimed that housing wealth, as well as stock prices, have an impact on consumption and hence on aggregate … recent research in behavioral economics. Particular attention is paid to a model of the response of consumption to wealth …

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …