Is Consumption Too Smooth? Long Memory and the Deaton Paradox
检验了持久收入假说中消费应比收入冲击更波动的预测是否因ARIMA模型对低频动态的限制而失效，通过长记忆模型发现消费过度平滑现象可能消失。
Under common ARIMA representations of income, the permanent-income hypothesis predicts that the volatility of consumption should be larger than the volatility of unanticipated shocks to income; this prediction is not supported by the data. The authors examine whether this apparent excess smoothness of consumption is the result of the ARIMA representation's implicit restrictions on low-frequency dynamics. By using a generalized long-memory stochastic representation, the authors construct confidence intervals for the long-run impulse response of income in the absence of such low-frequency restrictions. These intervals are quite wide and include regions in which excess smoothness vanishes. Copyright 1991 by MIT Press.