Incomplete information and the time series behaviour of consumption
利用美国1959-1996年季度数据检验Pischke(1995)和Goodfriend(1992)模型，发现仅凭消费者对总劳动收入的无知无法解释消费的过度平滑和敏感性，需放宽标准永久收入假说。
Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour income can account for the observed degree of excess smoothness and sensitivity in consumption. His tests involve only the second moments of aggregate consumption and labour income. In this paper our main aim is to identify and test the restrictions his model implies for aggregate consumption dynamics, using US quarterly data over the period 1959–1996, but our framework allows us also to test an earlier, related model of Goodfriend (1992). We find that both models can be formally rejected: ignorance of aggregate labour income cannot by itself account for aggregate consumption dynamics; some other relaxation of the assumptions of the standard PIH is required. We give an example of one possible such relaxation and present evidence indicating that Pischke's version of imperfect information may, within that framework, have a significant role to play. Copyright © 2000 John Wiley & Sons, Ltd.