Does Household Consumption Behave as a Martingale? A Test for Rural South India
利用印度南部三个村庄的家庭面板数据，检验消费是否随时间呈鞅过程，发现滞后消费系数小于1且滞后收入与财富变量显著，结果不支持永久收入假说。
AbstractThe hypothesis that consumption evolves over time as a martingale process is tested on household panel data for three villages in south India. A novel feature of the methodology is that it gives consistent estimates of dynamic effects in short panels. The estimated coefficients of lagged consumption are generally smaller than unity and a number of the lagged income and wealth variables are statistically significant. The results are inconsistent with the proposition that consumption equals permanent income. This is also true when the data are disaggregated by household wealth.