Consumption and Fractional Differencing: Old and New Anomalies

Joseph Haubrich

The Review of Economics and Statistics, 1993, vol. 75, issue 4, 767-72

Abstract: This paper calculates the stochastic properties of consumption when income follows a fractionally differenced process. It shows how such a process may resolve Angus Deaton's (1987) excessive smoothness paradox while assuming both the permanent income hypothesis and a univariate process for income. Tests and simulations suggest the evidence is consistent with income following such a process. Copyright 1993 by MIT Press.

Date: 1993
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Related works:
Working Paper: Consumption and fractional differencing: old and new anomalies (1990)
Working Paper: Consumption and Fractional Differencing: Old and New Anomalies
Working Paper: Consumption and Fractional Differencing: Old and New Anomalies
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