Consumption and Fractional Differencing: Old and New Anomalies
The Review of Economics and Statistics
1993
open access
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 (4)
- Pages
- 767
- Export
- BibTeX
- Sources
- openalex crossref