The Review of Economics and Statistics Vol. 75 No. 4 1993
Consumption and Fractional Differencing: Old and New Anomalies
open access
Abstract
A calculation of the stochastic properties of consumption when income follows a fractional stochastic process, showing how this may explain excess-smoothness results noted in previous studies.
- DOI
- 10.2307/2110038
- Volume
- 75
- Issue
- 4
- Pages
- 767
- Sources
- openalex crossref