An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle
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- Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Computing in Economics and Finance 2005 28, Society for Computational Economics.
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Cited by:
- James C. Morley, 2007.
"The Slow Adjustment of Aggregate Consumption to Permanent Income,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 615-638, March.
- James C. Morley, 2007. "The Slow Adjustment of Aggregate Consumption to Permanent Income," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 615-638, March.
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More about this item
Keywords
Kalman filter; trend; cycles; cointegration; correlated components; state space models; unobserved components;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2005-11-09 (Macroeconomics)
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