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The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations
16 references·14 citing·33 second hop
The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations (2009)The Time-Series Properties of Aggregate C…Portfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…Macroeconomic Priorities (2003)Macroeconomic PrioritiesLAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Habit Formation in Consumption and Its Implications for Monetary-Policy Models (2000)Habit Formation in Consumptio…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…The equity premium: A puzzle (1985)The equity premium: A puzzleTime to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSDisasters Everywhere: The Costs of Business Cycles Reconsidered (2020)Disasters Everywhere: The Cos…Disasters Everywhere: The Costs of Business Cycles Reconsidered (2020)Disasters Everywhere: The Cos…EXPECTATIONS-BASED REFERENCE-DEPENDENT PREFERENCES AND ASSET PRICING (2015)EXPECTATIONS-BASED REFERENCE-…Different Types of Central Bank Insolvency and the Central Role of Seignorage (2015)Different Types of Central Ba…Different types of central bank insolvency and the central role of seignorage (2015)Different types of central ba…Consumption Volatility, Liquidity Constraints and Household Welfare (2015)Consumption Volatility, Liqui…Comment on: “When does a central bank’s balance sheet require fiscal support?” by Marco Del Negro and Christopher A. Sims (2015)Comment on: “When does a cent…Reference-Dependent Preferences and Asset Pricing (2013)Reference-Dependent Preferenc…On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond (2013)On the welfare costs of busin…Matching frictions, unemployment dynamics and the cost of business cycles (2010)Matching frictions, unemploym…Consumption Fluctuations and Welfare: Evidence from China (2010)Consumption Fluctuations and …Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system (2010)Addressing the pro-cyclicalit…Optimal Monetary Policy Rules in an Estimated Sticky-Information Model (2009)Optimal Monetary Policy Rules…Openness, Volatility and the Risk Content of Exports (2006)Openness, Volatility and the …Asset Prices in an Exchange Economy (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Time Series Regression with a Unit Root (1987)An Intertemporal Capital Asset Pricing Model (1973)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models1,148 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 2004Portfolio Choice in the Presence of Housing1,004 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited

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  • 2003Macroeconomic Priorities926 cited
  • Cited by

    • 2009Optimal Monetary Policy Rules in an Estimated Sticky-Information Model77 cited
    • 2015EXPECTATIONS-BASED REFERENCE-DEPENDENT PREFERENCES AND ASSET PRICING62 cited
    • 2010Matching frictions, unemployment dynamics and the cost of business cycles51 cited
    • 2015Different Types of Central Bank Insolvency and the Central Role of Seignorage37 cited
    • 2010Addressing the pro-cyclicality of capital requirements with a dynamic loan loss provision system35 cited
    • 2015Comment on: “When does a central bank’s balance sheet require fiscal support?” by Marco Del Negro and Christopher A. Sims27 cited
    • 2015Consumption Volatility, Liquidity Constraints and Household Welfare26 cited
    • 2015Different types of central bank insolvency and the central role of seignorage20 cited
    • 2013On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond19 cited
    • 2020Disasters Everywhere: The Costs of Business Cycles Reconsidered17 cited
    • 2020Disasters Everywhere: The Costs of Business Cycles Reconsidered16 cited
    • 2006Openness, Volatility and the Risk Content of Exports15 cited
    • 2010Consumption Fluctuations and Welfare: Evidence from China12 cited
    • 2013Reference-Dependent Preferences and Asset Pricing0 cited