Consumption and fractional differencing: old and new anomalies

Joseph Haubrich

No 9010, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: A calculation of the stochastic properties of consumption when income follows a fractional stochastic process, showing how this may explain excess-smoothness results noted in previous studies.

Keywords: Consumption (Economics); Income; time series analysis (search for similar items in EconPapers)
Date: 1990
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Related works:
Journal Article: Consumption and Fractional Differencing: Old and New Anomalies (1993)
Working Paper: Consumption and Fractional Differencing: Old and New Anomalies
Working Paper: Consumption and Fractional Differencing: Old and New Anomalies
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