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Linear and nonlinear causality between changes in consumption and consumer attitudes

Author

Listed:
  • Qiao, Zhuo
  • McAleer, Michael
  • Wong, Wing-Keung

Abstract

Adopting both linear and nonlinear Granger causality tests, we find consumer attitude indices of the University of Michigan's surveys are very useful in predicting consumption movements of the United States.

Suggested Citation

  • Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
    • Handle: RePEc:eee:ecolet:v:102:y:2009:i:3:p:161-164
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    References listed on IDEAS

    as
    1. Sarah Gelper & Aurelie Lemmens & Christophe Croux, 2007. "Consumer sentiment and consumer spending: decomposing the Granger causal relationship in the time domain," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 1-11.
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    6. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    7. Gelper, S. & Lemmens, A. & Croux, C., 2007. "Consumer sentiment and consumer spending : Decomposing the granger causal relationship in the time domain," Other publications TiSEM 55ac7230-2985-41f1-a42c-7, Tilburg University, School of Economics and Management.
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