A note on the cointegration of consumption, income, and wealth
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Business & Economics - 24 pages
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aggregate budget constraint analysis asset measures augmented Dickey-Fuller test Berger Brian Sack cointegrating relationship cointegrating vectors cointegration tests consumer durables consumption and assets consumption of nondurables deﬂator for total derived Economics Discussion Series empirical equation 11 Federal Reserve Board Federal Reserve System Finance and Economics ﬁndings Flow of Funds forecast Hospital Information Systems human capital Inﬂation Jeremy Rudd Karl Johansen justiﬁcation labor income Lag length Lettau and Ludvigson Lettau-Ludvigson ct line II.A log consumption log of total Log Real Ludvigson 2001 Ludvigson’s measures Mark Carlson measures of consumption Monetary Policy Rules nominal nondurables and services November null hypothesis number of lags October percent critical value personal consumption expenditures regression reject the hypothesis reject the null return on assets return on human Rudd Karl Whelan sample September 2002 services excluding shoes shoes and clothing signiﬁcant Speciﬁcally stationary test statistics total consumption expenditures total wealth underlying budget constraint unobservable variables