Unanticipated Aggregate Disturbances and Tests of the Life-Cycle Consumption Model Using Panel Data
发现未预期的宏观经济扰动会导致家庭收入预测误差与滞后信息相关，这种相关性使先前基于PSID数据对生命周期模型的检验偏向于拒绝该模型，并提出了使用面板数据检验该模型的正确方法。
Several recent studies have used data on food consumption from the Panel Study of Income Dynamics (PSID) to test t he rational expectations life-cycle hypothesis against the alternative of prevalent liquidity constraints. These tests invoke the rational expectations restriction that income forecast errors are independent of lagged information. This restriction, however, applies only in a time-series context. It is possible that unanticipated macroeconomic disturbances cause forecast errors to be correlated.with lagged information in a cross-section of families. The authors present evidence of such a correlation in the PSID data, show that this correlation biases previous tests of the life-cycle model toward rejection, and derive a proper test of the life-cycle model using pa nel data. Copyright 1993 by MIT Press.