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Testing for structural break in aggregated consumption function of Russian households
https://doi.org/10.32609/0042-8736-2021-5-91-106
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
unit root test,
structural breaks,
2SLS,
consumption function,
Russian economy,
instrumental regression
JEL: C12, C22
About the Authors
A. V. Polbin
Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy
Russian Federation
Russian Federation
Andrey V. Polbin
Moscow
A. A. Skrobotov
Russian Presidential Academy of National Economy and Public Administration (Moscow); Gaidar Institute for Economic Policy (Moscow, Russia); Saint Petersburg State University (St. Petersburg)
Russian Federation
Russian Federation
Anton A. Skrobotov
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For citations:
Polbin A.V., Skrobotov A.A. Testing for structural break in aggregated consumption function of Russian households. Voprosy Ekonomiki. 2021;(5):91-106. (In Russ.) https://doi.org/10.32609/0042-8736-2021-5-91-106
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