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The predictability of aggregate consumption growth in OECD countries: a panel data analysis

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Abstract
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation, intertemporal substitution, current income consumption and non-separabilities between private consumption and both hours worked and government consumption. We estimate this equation for a panel of 15 OECD countries over the period 1972-2007, taking into account parameter heterogeneity, endogeneity and error cross-sectional dependence using a GMM version of the common correlated effects mean group estimator. Small-sample properties are demonstrated using Monte Carlo simulations. The estimation results support income growth as the only variable with significant predictive power for aggregate consumption growth.
Keywords
LIQUIDITY CONSTRAINTS, PERMANENT INCOME HYPOTHESIS, HETEROGENEOUS PANELS, INFORMATION, PRIVATE, MODELS, MARKET, WORLD, BIAS

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MLA
Everaert, Gerdie, and Lorenzo Pozzi. “The Predictability of Aggregate Consumption Growth in OECD Countries: a Panel Data Analysis.” JOURNAL OF APPLIED ECONOMETRICS 29.3 (2014): 431–453. Print.
APA
Everaert, Gerdie, & Pozzi, L. (2014). The predictability of aggregate consumption growth in OECD countries: a panel data analysis. JOURNAL OF APPLIED ECONOMETRICS, 29(3), 431–453.
Chicago author-date
Everaert, Gerdie, and Lorenzo Pozzi. 2014. “The Predictability of Aggregate Consumption Growth in OECD Countries: a Panel Data Analysis.” Journal of Applied Econometrics 29 (3): 431–453.
Chicago author-date (all authors)
Everaert, Gerdie, and Lorenzo Pozzi. 2014. “The Predictability of Aggregate Consumption Growth in OECD Countries: a Panel Data Analysis.” Journal of Applied Econometrics 29 (3): 431–453.
Vancouver
1.
Everaert G, Pozzi L. The predictability of aggregate consumption growth in OECD countries: a panel data analysis. JOURNAL OF APPLIED ECONOMETRICS. 2014;29(3):431–53.
IEEE
[1]
G. Everaert and L. Pozzi, “The predictability of aggregate consumption growth in OECD countries: a panel data analysis,” JOURNAL OF APPLIED ECONOMETRICS, vol. 29, no. 3, pp. 431–453, 2014.
@article{4378224,
  abstract     = {We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation, intertemporal substitution, current income consumption and non-separabilities between private consumption and both hours worked and government consumption. We estimate this equation for a panel of 15 OECD countries over the period 1972-2007, taking into account parameter heterogeneity, endogeneity and error cross-sectional dependence using a GMM version of the common correlated effects mean group estimator. Small-sample properties are demonstrated using Monte Carlo simulations. The estimation results support income growth as the only variable with significant predictive power for aggregate consumption growth.},
  author       = {Everaert, Gerdie and Pozzi, Lorenzo},
  issn         = {0883-7252},
  journal      = {JOURNAL OF APPLIED ECONOMETRICS},
  keywords     = {LIQUIDITY CONSTRAINTS,PERMANENT INCOME HYPOTHESIS,HETEROGENEOUS PANELS,INFORMATION,PRIVATE,MODELS,MARKET,WORLD,BIAS},
  language     = {eng},
  number       = {3},
  pages        = {431--453},
  title        = {The predictability of aggregate consumption growth in OECD countries: a panel data analysis},
  url          = {http://dx.doi.org/10.1002/jae.2338},
  volume       = {29},
  year         = {2014},
}

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