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Specification Tests of Habit Formation

id:2197 时间:20131014 status:published 点击数:
杂志Applied Economics Letters   
作者Peng Liu, Yu Ren
正文Campbell and Cochrane (1999) propose the habit formation model to explain the equity premium puzzle. They assume that an agent's consumption is affected by habit and describe how habit adjusts to the history of consumption. We use the simulated moment method to test these two speci cations. Empirically, we find that habit plays an important role in an agent's consumption choice, however not in the way Campbell and Cochrane (1999) specify.
JEL-Codes:C13; G12; E21
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