WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
WEALTH, DISPOSABLE INCOME AND CONSUMPTION - Economics
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Table 8<br />
Error-correction models for consumption<br />
Dependent variable: Δc – Sample: 1964:01–1993:03<br />
Short-run Long-run variables<br />
variables y,p y,w y,h, k’<br />
constant 0.005<br />
(0.001)*<br />
ECt – 1<br />
Δy t<br />
Δyt – 4<br />
Δp t<br />
rt – 1<br />
Δu t<br />
Δct – 3<br />
–0.121<br />
(0.033)<br />
0.142<br />
(0.038)<br />
–0.131<br />
(0.040)<br />
–0.394<br />
(0.116)<br />
–0.133<br />
(0.064)<br />
–0.004<br />
(0.001)<br />
0.185<br />
(0.083)<br />
0.004<br />
(0.001)<br />
–0.164<br />
(0.052)<br />
0.151<br />
(0.038)<br />
–0.129<br />
(0.041)<br />
–0.373<br />
(0.116)<br />
–0.038<br />
(0.069)<br />
–0.004<br />
(0.001)<br />
0.178<br />
(0.079)<br />
0.003<br />
(0.001)<br />
–0.170<br />
(0.063)<br />
0.131<br />
(0.042)<br />
–0.122<br />
(0.041)<br />
–0.364<br />
(0.115)<br />
–0.022<br />
(0.073)<br />
–0.004<br />
(0.001)<br />
0.200<br />
(0.085))<br />
Δk’<br />
t<br />
– – 0.042<br />
(0.030)<br />
R 0.37 0.38 0.36<br />
DW 2.10 2.03 2.02<br />
Q(15)** 0.15 0.11 0.08<br />
ARCH(1) 0.03 0.02 0.02<br />
ARCH(4) 0.23 0.16 0.19<br />
RESET 0.22 0.21 0.12<br />
NORMAL 0.43 0.65 0.66<br />
2<br />
* Bracketed terms are Newey-West standard errors based on a first-order process<br />
for the residuals.<br />
** The following four statistics are the probability values for the Box-Ljung Qtest<br />
(Q(15)) for autocorrelated residuals using 15 lagged autocorrelations,<br />
Engle’s test for autoregressive conditional heteroscedasticity of orders one<br />
and four (ARCH), Ramsey’s RESET specification test, and the Jarque-Bera<br />
test for normality (NORMAL). A value at or below 0.05 means that the null<br />
can be rejected at the 5 per cent level.<br />
35
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