Тестирование структурного сдвига в агрегированной функции потребления домохозяйств РФ

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Тестирование структурного сдвига в агрегированной функции потребления домохозяйств РФ. / Polbin, Andrey V.; Skrobotov, Anton A.

In: Voprosy Ekonomiki, Vol. 2021, No. 5, 2021, p. 91-106.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{e9d54fa24394462d84aca7ad7a2338a6,

title = "Тестирование структурного сдвига в агрегированной функции потребления домохозяйств РФ",

abstract = "The paper considers a simple aggregated consumption function for Russian economy in which households consume a constant fraction of a permanent income. The value of this fraction is estimated by households within the framework of the adaptive expectations process based on the dynamics of GDP at constant consumption prices. Testing for a structural break at an unknown date in the parameter of the propensity to consume is performed. The results of econometric estimation, taking into account the presence of an endogeneity in the regression equation, demonstrate that after 2014 there was a structural break, as a result of which the parameter of the propensity to consume of permanent GDP decreased by 6.5—9.2%.",

keywords = "2SLS, Consumption function, Instrumental regression, Russian economy, Structural breaks, Unit root test",

author = "Polbin, {Andrey V.} and Skrobotov, {Anton A.}",

year = "2021",

doi = "10.32609/0042-8736-2021-5-91-106",

language = "русский",

volume = "2021",

pages = "91--106",

journal = "ВОПРОСЫ ЭКОНОМИКИ",

issn = "0042-8736",

publisher = "Институт экономики РАН",

number = "5",

}

RIS

TY - JOUR

T1 - Тестирование структурного сдвига в агрегированной функции потребления домохозяйств РФ

AU - Polbin, Andrey V.

AU - Skrobotov, Anton A.

PY - 2021

Y1 - 2021

N2 - The paper considers a simple aggregated consumption function for Russian economy in which households consume a constant fraction of a permanent income. The value of this fraction is estimated by households within the framework of the adaptive expectations process based on the dynamics of GDP at constant consumption prices. Testing for a structural break at an unknown date in the parameter of the propensity to consume is performed. The results of econometric estimation, taking into account the presence of an endogeneity in the regression equation, demonstrate that after 2014 there was a structural break, as a result of which the parameter of the propensity to consume of permanent GDP decreased by 6.5—9.2%.

AB - The paper considers a simple aggregated consumption function for Russian economy in which households consume a constant fraction of a permanent income. The value of this fraction is estimated by households within the framework of the adaptive expectations process based on the dynamics of GDP at constant consumption prices. Testing for a structural break at an unknown date in the parameter of the propensity to consume is performed. The results of econometric estimation, taking into account the presence of an endogeneity in the regression equation, demonstrate that after 2014 there was a structural break, as a result of which the parameter of the propensity to consume of permanent GDP decreased by 6.5—9.2%.

KW - 2SLS

KW - Consumption function

KW - Instrumental regression

KW - Russian economy

KW - Structural breaks

KW - Unit root test

UR - http://www.scopus.com/inward/record.url?scp=85107175181&partnerID=8YFLogxK

U2 - 10.32609/0042-8736-2021-5-91-106

DO - 10.32609/0042-8736-2021-5-91-106

M3 - статья

AN - SCOPUS:85107175181

VL - 2021

SP - 91

EP - 106

JO - ВОПРОСЫ ЭКОНОМИКИ

JF - ВОПРОСЫ ЭКОНОМИКИ

SN - 0042-8736

IS - 5

ER -

ID: 92208221