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題名 | Testing the Permanent Income Hypothesis Using Taiwan Data: The Application of the FM-GMM and FM-GIVE Methods=恆常所得假說的檢定--FM-GMM以及FM-GIVE方法的應用 |
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作者 | 饒秀華; | 書刊名 | 經濟論文 |
卷期 | 27:1 1999.03[民88.03] |
頁次 | 頁49-79 |
分類號 | 553.01 |
關鍵詞 | 恆常所得; 消費函數; 非恆定時間數列; 誤差修正模型; 完全修正一般工具變法; 完全修正一般動差估計法; Permanent income; Consumption function; Nonstationarity; ECM; FM-GIVE; FM-GMM; |
語文 | 英文(English) |
中文摘要 | 本文研究當所得與消費為非�琠w時間序列,並考慮消費的調整成本時,對�痡` 所得假說進行檢定。我們把消費區分為真實消費與計劃性消費兩種。計劃性消費是�痡`所 得的某一固定比例,而真實的消費數額則是依據某一(二次式)最適化法則。具體來說, 我們假設消費者的最適化法則是使以下兩項之和達到最小,這兩項為:真實的消費與計劃 性消費差距的平方,以及調整消費所產生的調整成本。經由此最適化原則所決定的消費, 受到兩種因素的影響。第一種因素是由於調整成本所導致的失衡誤差。第二種因素是因為 所得突然發生變化,導致�痡`所得發生變化。失衡誤差以及�痡`所得的變化,會使消費發 生變化。如果�痡`所得假說成立,而且消費的�痡`所得彈性為1,失衡誤差以及�痡`所得 的變化對消費所產生的影響,若分別以迴歸係數來表示,其總合應為1。因此對�痡`所得 假說的檢定,必須對消費的�痡`所得彈性是否為1,以及失衡誤差與�痡`所得的變化對消 費所產生的影響,其迴歸係數總合是否為1,這兩件事情來加以檢定。 經由此最適化原則所決定的消費函數或消費迴歸式,所包括的解釋變數,可能具有共 積關係。其次,消費迴歸式的誤差項為具移動平均的統計模型。因此估計消費函數,我們 不能採取Johansen的方法,而是改採Phillips and Kitamura(1993)的FM-GIVE和FM-GMM方 法。 利用臺灣資料,本文所得到的結論是我們無法拒絕�痡`所得假說。其次,當�痡`所得 假說成立,臺灣的消費函數可以修正誤差模型來表示。 |
英文摘要 | This paper deals with tests of the permanent income (PI) theory taking into account both the nonstationarity of income and consumption and the existence of adjustment costs of consumption. We carefully distinguish between the concept of actual consumption and desired consumption. It is assumed that the desired consumption is a fixed proportion of permanent income, and that the actual consumption follows a quadratic optimization rule. More specifically, we assume that consumers minimize the discounted sum of squared deviations of actual consumption to desired consumption and the square adjustment costs of actual consumption over time. In the general specification of the consumption function, consumption responds to the disequilibrium error due to the existence of adjustment costs as well as to changes in permanent income signaled by unexpected changes in income. Under the PIH, the sum of the coefficients of these two components is equal to one when the permanent income elasticity of consumption is unity. Tests of the PIH include tests of unit income elasticity and the linear constraint. The restrictions implied by the PIH correspond to the restrictions on the coefficients of I (1) regressors that are possibly cointegrated. Furthermore, due to the fact that the error term in the consumption function is a moving average process, Johansen's procedure is not applicable. The asymptotic theory developed by Phillips and Kitamura (1993) allows us to conduct PIH testing using an inferential procedure based on FM-GIVE and FM- GMM. In this paper we found that the PIH is not rejected in Taiwan quarterly data. Under the maintained hypothesis of PI theory, the consumption function could be modeled as an ECM. Finally, even if we take into consideration the nonstationarity of consumption and income, if we neglect the problem of adjustment costs of consumption, the PIH would be rejected. |
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