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パネルデータにおける家計消費の変動要因――測定誤差とデータ集計期間に関する一考察―― / The cause of volatility in panel data of household expenditure - a study on measurement errors and time aggregation

Abe, N.; Inakura, N.; (2008) パネルデータにおける家計消費の変動要因――測定誤差とデータ集計期間に関する一考察―― / The cause of volatility in panel data of household expenditure - a study on measurement errors and time aggregation. 経済研究 / Economic Review , 59 (3) pp. 228-239.

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Abstract

標準的な家計消費モデルに従うと,家計消費は所得に比べてスムーズに変化し,その動きはランダムウォークに近くなる.しかしながら,各国のパネルデータに記録されている家計消費変化率の分散は所得変化率の分散よりも大きく,ランダムウォークよりも i.i.d.に近い挙動を示している.本論文では,消費データの不安定性が測定誤差によるものなのか,それとも調査期間が短いためであるかを検証した.分析の結果,測定誤差よりはむしろ,消費支出調査期間の短さが消費変動の主要因であるという結論を得た.Needs-Scan/Panelを用いた食料消費支出の分析では,家計消費がランダムウォークに近くなるのは四半期以上の長期間の集計期間を用いた場合であり,またその場合でも,長期保存可能な食料品への支出はランダムウォークよりもi.i.d.に近い挙動を示した.これは通常の一週間や一カ月の情報に基づく家計消費データでは,消費支出の平滑化やランダムウォーク性の検証を行うことが困難であることを示唆するものである./ Panel data of household consumption generally exhibits large volatility and weak serial correlation, which is inconsistent with the standard household consumption model. This paper investigates whether (1) measurement errors and (2) transitory components in consumption data can explain the observed volatility of household consumption. Using several micro data including daily scanner data from the Needs-Scan/Panel, we found that the short data collection period, that is, the existence of transitory consumption, is the main source of the observed large volatility. Compared to the aggregation period, the measurement errors play a minor role in consumption volatility. Household consumption becomes close to a random walk only when we use quarterly or longer aggregation periods. We also found that not-perishable goods such as canned foods are close to an i.i.d. process regardless of the aggregation length. Our findings suggest that we need to be very careful when testing consumption smoothing or random walk hypotheses with typical household-level panel data based on weekly or monthly surveys.

Type: Article
Title: パネルデータにおける家計消費の変動要因――測定誤差とデータ集計期間に関する一考察―― / The cause of volatility in panel data of household expenditure - a study on measurement errors and time aggregation
Publisher version: http://www.ier.hit-u.ac.jp/Japanese/publication/ba...
Language: Japanese
Additional information: If you are experiencing difficulties viewing the Japanese characters on this page, please go to View/ Character Encoding to change to an alternative encoding
Keywords: Consumption, expenditure, households, measurement error, panel data
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/17640
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