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Specification Tests of Habit Formation
Id：2197
Date：20131014
Status：published
ClickTimes：
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
关键词：
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