A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration

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題名:	A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration
作者:	黃台心;Huang, Tai-hsin
貢獻者:	淡江大學經濟學系
日期:	2002-06
上傳時間:	2009-11-30 18:36:25 (UTC+8)
出版者:	Blackwell
摘要:	This study re-evaluates the validity of the joint rational expectations-permanent income hypothesis under the framework of seasonal cointegration using seasonally unadjusted quarterly data from Austria, Canada and Taiwan. Evidence is found that the consumption change only depends on the innovations of the income and the unemployment rate changes, and that agents are rational in forming their expectations, i.e., the joint hypothesis is supported by the data used. However, with the same data set, a similar test based on non-seasonal cointegration tends to reject the joint hypothesis, since the test ignores completely the possible stochastic seasonalities that may contain important information, as has been pointed out by Wallis (1974), embodied in the data.
關聯:	Australian economic papers 41(2), pp.208-232
DOI:	10.1111/1467-8454.00160
顯示於類別:	[經濟學系暨研究所] 期刊論文

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