Consumption and income in Finland 1960-1983 : A Multiple time series analysis
Starck, Christian C. (29.07.1987)
Numero
9/87Julkaisija
Bank of Finland
1987
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2023070375491Tiivistelmä
The aim of this paper is to find out whether there are gains with respect to forecasting from modelling consumption and income as a bivariate time series process rather than as univariate processes. It is found that consumption and income can be modelled best jointly through an ARMA2(2,l)model. Income is found to be Granger causally prior to consumption.