Testing for Excess Sensitivity in Consumption: A State-Space/Unobserved Components Approach
用状态空间模型分解收入的永久、暂时和季节成分，检验理性预期/永久收入假说，未发现消费过度敏感，但使用X-11季节调整数据时则相反，表明季节滤波可能导致以往理论被拒绝。
This paper tests the joint rational expectations/permanent income hypothesis using a state-space/unobserved components model to specify anticipated and unanticipated elements of permanent, transitory, and seasonal components of the income path and measure their relationships with consumption. The results do not find significant excess sensitivity. However, a similar test that accounts for seasonality using X-11 adjusted data does, thus indicating that seasonal filtering may be responsible for previous empirical rejections of the theory. Since the model includes consumption information in estimating the different components of income, it also improves upon univariate investigations of the relative magnitudes of permanent and transitory disturbances to the income path.