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

Riccardo Corradini ()

No 28, Computing in Economics and Finance 2005 from Society for Computational Economics

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

Date: 2005-11-11
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf5:28

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