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

See all articles by Tony S. Wirjanto

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 1991

Abstract

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

Wirjanto, Tony S., Testing the Permanent Income Hypothesis: The Evidence from Canadian Data (1991). Canadian Journal of Economics, Vol. 24, No. 3, pp. 563-577, August 1991, Available at SSRN: https://ssrn.com/abstract=2241853

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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