The consumption function.

 

For this topic assume that, initially you have identified 2 variables which influence consumption

 

Income Interest rates  

You decide to look at how changes in these 2 variables have influenced consumption by estimating the model

 

Ct = a + b1YDt + b2rt + et …………………………………..(1)

 

Where DCt represents the change in consumption (Ct – Ct-1), YDt the change in disposable income and rt the change in interest rates.

问题:

Extension of project

 

i) Re-run the original equation in levels ie  

Ct = d + g1YD+ g2r  

and comment on the differences in terms of fit and model diagnostics (in particular the test for autocorrelation).

                                                          (4 marks)

 

ii) Turning again to equation (2) – carry out an appropriate test of parameter constancy. To do this assume that the “break” occurs half way though your sample.
                                                          (3 marks)

iii)  Again using equation (2) construct an appropriate dummy variable to test the hypothesis that the change in consumption is higher in the month of December (monthly data) or the final quarter of the year (quarterly). What would your priors for this be?
                                                          (3 marks)

[此贴子已经被作者于2009-5-8 11:36:59编辑过]