Testing the Predictability of Consumption Growth: Evidence from China
Liping Gao () and
Hyeongwoo Kim ()
No auwp2014-11, Auburn Economics Working Paper Series from Department of Economics, Auburn University
Chow (1985, 2010, 2011) reports indirect evidence for the permanent income hypothesis using time series observations in China. We revisit this issue by addressing direct evidence of the predictability of consumption growth in China during the post-economic reform regime (1978-2009) as well as the postwar US data for comparison. Our in-sample analysis provides strong evidence against the PIH for both countries. Out-of-sample forecast exercises show that consumption changes are highly predictable.
Keywords: Permanent Income Hypothesis; Consumption; Out-of-Sample Predictability; Diebold-Mariano-West Statistic (search for similar items in EconPapers)
JEL-codes: E21 E27 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna, nep-for, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: TESTING THE PREDICTABILITY OF CONSUMPTION GROWTH: EVIDENCE FROM CHINA (2016)
Working Paper: Testing the Predictability of Consumption Growth: Evidence from China (2016)
Working Paper: Testing the Predictability of Consumption Growth: Evidence from China (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:abn:wpaper:auwp2014-11
Access Statistics for this paper
More papers in Auburn Economics Working Paper Series from Department of Economics, Auburn University Contact information at EDIRC.
Bibliographic data for series maintained by Hyeongwoo Kim ().