Journal of Political Economy
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Выпуски:
Опубликовано на портале: 03-11-2007
Marjorie Flavin
Journal of Political Economy.
1981.
Vol. 89.
No. 5.
P. 974-1009.
The paper analyzes the role of current income in providing new
information about future income and thus signaling changes in
permanent income. Using time-series analysis to quantify the revision
in permanent income induced by an innovation in the current
income process, a structural econometric model of consumption is
developed. The rejection of the joint rational expectations permanent
income hypothesis is both statistically and quantitatively
significant. The paper also shows that the test of the rational
expectations-permanent income hypothesis proposed by Hall is
based on the reduced form of this structural model and reconciles
Sargent's consumption paper with Hall's
