Effects of Transitory Consumption and Temporal Aggregation on the Permanent Income Hypothesis
证明，当模型同时纳入暂时性消费和时间加总效应时，美国月度消费数据与永久收入假说一致，此时更合适的表述是带负MA系数的IMA(1,1)过程，而非被反复拒绝的随机游走过程。
This paper shows that U.S. monthly consumption data are consistent with the permanent income hypothesis when transitory consumption and temporal aggregation effects are jointly incorporated into the model. In this case, a more appropriate representation for the permanent income hypothesis is the integrated-moving average IMA(1,1) process with a negative MA coefficient, rather than the repeatedly rejected random walk process. Restrictions on the relative importance of transitory and permanent consumption are also discussed, with and without measurement errors. Copyright 1993 by MIT Press.