Testing the Permanent Income Hypothesis: The Evidence from Canadian Data
Canadian Journal of Economics, Vol. 24, No. 3, pp. 563-577, August 1991
Posted: 31 Mar 2013
Date Written: 1991
This paper investigates whether there are variants of the permanent income model that are consistent with seasonally unadjusted quarterly postwar Canadian data. The analysis is based on a misspecification-test equation which nests the standard permanent income model. The results obtaineda re somewhatu nfavourablet o the permanent-incomeh ypothesis. The same results also apply to more general models in which the real interest rate is timevarying and the utility function is non-separable in consumption and the stock of durable goods.
Keywords: Asset Pricing, Consumption, Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments
JEL Classification: C13, C22, C32, C52, D91, G12, E21
Suggested Citation: Suggested Citation