The rational expectations permanent income hypothesis : does aggregate consumption in Australia follow a random walk?

Holloway, James C. (1992). The rational expectations permanent income hypothesis : does aggregate consumption in Australia follow a random walk? Honours Thesis, School of Economics, The University of Queensland.

       
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Author Holloway, James C.
Thesis Title The rational expectations permanent income hypothesis : does aggregate consumption in Australia follow a random walk?
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 1992
Thesis type Honours Thesis
Total pages 110
Language eng
Subjects 14 Economics
Formatted abstract This thesis examines whether the Australian data on aggregate consumption is well characterised as following a random walk apart from drift. The Rational Expectations Permanent Income hpothesis due to Hall (1978) argues that it should. It is also interesting to test the random walk hypothesis as such a process is integrated of order one there is considerable evidence that many macroeconomic variables seem to be integrated. After running a battery of tests, it is concluded that. both non-durable consumption and total consumption are well characterised as random walk processes with only small drift. Finally, the implications of this result are considered.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Mon, 29 Nov 2010, 12:22:50 EST by Muhammad Noman Ali on behalf of The University of Queensland Library