We formulate a general cointegrated vector autoregressive (CVAR) model that nests both a class of consumption Euler equations and various Keynesian type consumption functions. Using likelihoodbased methods and Norwegian data, we find support for cointegration between consumption, income and wealth once a structural break around the financial crisis is allowed for. That consumption cointegrates with both income and wealth and not only with income points to the empirical irrelevance of an Euler equation. Moreover, we find that consumption equilibrium corrects to changes in income and wealth and not that income equilibrium corrects to changes in consumption, which would be the case if an Euler equation is true. We also find that most of the parameters stemming from the class of Euler equations are not corroborated by the data when considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in explaining the Norwegian consumer behaviour. Our preferred model is a dynamic Keynesian type consumption function with a first year marginal propensity to consume out of income close to 25 per cent.

中文翻译：

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消费欧拉方程还是凯恩斯消费函数？*

我们制定了一个通用的协整向量自回归 (CVAR) 模型，该模型嵌套了一类消费欧拉方程和各种凯恩斯类型的消费函数。使用基于可能性的方法和挪威数据，我们发现一旦允许围绕金融危机发生结构性断裂，就会支持消费、收入和财富之间的协整。消费与收入和财富的协整，而不仅仅是与收入的协整，这表明欧拉方程与经验无关。此外，我们发现消费均衡修正了收入和财富的变化，而不是收入均衡修正了消费的变化，如果欧拉方程为真，情况就会如此。我们还发现，在 CVAR 模型中考虑未来消费和收入的条件预期时，大多数源自欧拉方程类的参数都没有得到数据的证实。在解释挪威消费者行为方面，似乎只有习惯的形成很重要。我们首选的模型是动态凯恩斯型消费函数，第一年的边际消费倾向接近 25%。