NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Integrated Regressors and Tests of the Permanent Income Hypothesis

James H. Stock, Kenneth D. West

NBER Working Paper No. 2359 (Also Reprint No. r1039)
Issued in September 1988
NBER Program(s):   EFG

We use recent research on estimation and testing in the presence of unit roots to argue that Hall's (1978) t and F tests of whether consumption is predicted by lagged income, or by lags of consumption beyond the first, are asymptotically valid. A Monte Carlo experiment suggests that the asymptotic t and F distributions provide a good approximation to the actual finite sample distribution.

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Document Object Identifier (DOI): 10.3386/w2359

Published: Stock, James H. and Kenneth D. West. "Integrated Regressors and Tests of the Permanent-Income Hypothesis." Journal of Monetary Economics, Vol. 21, No. 1, pp. 85-96, (January 1988) citation courtesy of

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