EconPapers    
Economics at your fingertips  
 

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

Riccardo Corradini ()

Econometrics from EconWPA

Abstract: 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.

Keywords: Kalman filter; trend; cycles; cointegration; correlated components; state space models; unobserved components (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2005-09-05
Note: Type of Document - pdf; pages: 30
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/em/papers/0509/0509009.pdf (application/pdf)

Related works:
Working Paper: An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0509009

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2017-04-24
Handle: RePEc:wpa:wuwpem:0509009