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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 7
A version of the permanent income theory of consumption implies that the logarithm of real GDP ( Y ) and the logarithm of real consumption (C) are cointegrated with a cointegrating coefficient equal to 1. Explain how you would investigate this implication by (a) plotting the data and (b) using a statistical test.
Explanation
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b) The Dickey Fuller test used to test f...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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