Chapter 1

Temporal Stability of Macroeconomic Savings Models

VECM estimation, structural break tests, and rolling regressions on Chinese household savings data

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Data not yet collected. This interface is a preview of the tools that will be available once the macroeconomic time series have been assembled and cleaned. The forms below are non-functional placeholders. Data collection is planned for Year 1 of the doctoral programme (2026–2027).

Objective

This chapter evaluates whether the dominant models of Chinese household savings — life-cycle (Modigliani & Cao, 2004), permanent income (Friedman, 1957), precautionary motives (Choi et al., 2014), and competitive saving via sex ratios (Wei & Zhang, 2011) — produce stable parameter estimates when extended to the most recent available data (2023–2024).

Methodology

1

Structural break tests — Chow tests at candidate break dates (1998: housing reform; 2008: financial crisis; 2015: slowdown) and Bai-Perron tests for endogenous, multiple break detection.

2

Recursive tests — CUSUM and CUSUM-of-squares statistics to detect progressive coefficient instability over time (Page, 1954).

3

Rolling regressions — Estimation over 10–15 year moving windows to visualise the trajectory of key coefficients and their standard errors.

4

VECM framework — Vector Error Correction Models for non-stationary series, with Johansen cointegration tests (Engle & Granger, 1987; Johansen, 1991).

VECM Estimation Interface

Configure and run stability tests on macroeconomic savings models. Currently inactive — awaiting data.

Expected output

A synthetic table comparing stability results across models — indicating which coefficients are stable, which exhibit structural breaks, and the magnitude of parameter drift. This diagnostic will formally justify the search for an omitted cultural variable developed in Chapters 2 and 3.