Estimating And Testing Intertemporal Preferences

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Estimating And Testing Intertemporal Preferences

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Author : William HawkLee Chin
language : en
Publisher:
Release Date : 2005

Estimating And Testing Intertemporal Preferences written by William HawkLee Chin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This dissertation contributes to the theory of intertemporal duality. A Frisch demand system derived from a consumer profit function is developed rationalizing consumption, labor supply and savings choices of households consistent with intertemporal maximization. A new functional form with many appealing properties is introduced. This functional form has the generality of rank 3 demand systems and additionally has the property that the conditioning variable of Frisch demand systems, the unobserved price of marginal utility, is solved explicitly via the inversion of the intertemporal budget constraint. This new functional from is applied to selected single headed households over a five year span using information from five waves of the Panel Study of Income Dynamics (PSID) from 1985 to 1989. Household wealth from the beginning and end of this period, together with income information over this observed period is used to derive aggregate household consumption. The connection between commonly maintained primal separability restrictions and the full matrix of price cross price Frisch elasticites is demonstrated. A test of consumption-labor and time separability suggests that these restrictions ought to be rejected. Cross price Frisch elasticities are found not to equal zero and this in turn affects all estimates of consumption, labor supply and saving elasticities.

Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data

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Author : Lars Peter Hansen
language : en
Publisher:
Release Date : 1991

Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data written by Lars Peter Hansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (i) Can the services from durable and nondurable goods be treated as perfect substitutes? (ii) Are preferences completely separable between durable and nondurable goods? (iii) What is the nature of intertemporal substitutability of nondurable consumption? When consumers' preferences are assumed to be quadratic, there is very little evidence against the hypothesis that the services from durable goods and nondurable goods are perfect substitutes. These results call into question the practice of testing quadratic models of aggregate consumption using data on nondurables and services only. When we consider S branch specifications, we find more evidence against perfect substitutability between service flows, but less evidence against strict separability across durable and nondurable consumption goods. Among other things, these findings suggest that the empirical shortcomings of the intertemporal asset pricing model cannot be attributed to the neglect of durable goods

Estimating Intertemporal Preferences For Natural Resource Allocation

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Author : Richard E. Howitt
language : en
Publisher:
Release Date : 2020

Estimating Intertemporal Preferences For Natural Resource Allocation written by Richard E. Howitt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

In this article, we show how the degree of risk aversion, discounting, and preference for intertemporal substitution for a natural resource manager can be structurally estimated within a recursive utility framework. We focus on the management of a reservoir in California, and test the data for consistency with a recursive utility model specification versus standard time-additive separability. The results show that the data are consistent with a risk-averse manager with recursive preferences. The data also reject time-additive separability, with or without risk aversion, such as the standard constant relative risk aversion utility model. The improvement in model fit when recursive preferences are used is notable.

Unexploited Connections Between Intra And Inter Temporal Allocation

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Author : Thomas F. Crossley
language : en
Publisher: Hamilton, Ont. : Research Institute for Quantitative Studies in Economics and Population, McMaster University
Release Date : 2005

Unexploited Connections Between Intra And Inter Temporal Allocation written by Thomas F. Crossley and has been published by Hamilton, Ont. : Research Institute for Quantitative Studies in Economics and Population, McMaster University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Consumption (Economics) categories.

Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data

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Author : Martin Eichenbaum
language : en
Publisher:
Release Date : 2008

Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data written by Martin Eichenbaum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (i) Can the services from durable and nondurable goods be treated as perfect substitutes? (ii) Are preferences completely separable between durable and nondurable goods? (iii) What is the nature of intertemporal substitutability of nondurable consumption? When consumers' preferences are assumed to be quadratic, there is very little evidence against the hypothesis that the services from durable goods and nondurable goods are perfect substitutes. These results call into question the practice of testing quadratic models of aggregate consumption using data on nondurables and services only. When we consider S branch specifications, we find more evidence against perfect substitutability between service flows, but less evidence against strict separability across durable and nondurable consumption goods. Among other things, these findings suggest that the empirical shortcomings of the intertemporal asset pricing model cannot be attributed to the neglect of durable goods.

Measuring Intertemporal Preferences Using Response Times

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Author : Christopher F. Chabris
language : en
Publisher:
Release Date : 2008

Measuring Intertemporal Preferences Using Response Times written by Christopher F. Chabris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Consumers' preferences categories.

We use two different approaches to measure intertemporal preferences. First we employ the classical method of inferring preferences from a series of choices (subjects choose between $X now or $Y in D days). Second we adopt the novel approach of inferring preferences using only response time data from the same choices (how long it takes subjects to choose between $X now or $Y in D days). In principle, the inference from response times should work, since choices between items of nearly equivalent value should take longer than choices between items with substantially different values. We find that choice-based analysis and response-time-based analysis yield nearly identical discount rate estimates. We conclude that response time data sheds light on both our revealed (choice-based) preferences and on the cognitive processes that implement those preferences.

Intertemporal Substitution And Labour Supply With Time Separable Preferences

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Author : George S. Alogoskoufis
language : en
Publisher:
Release Date : 1985

Intertemporal Substitution And Labour Supply With Time Separable Preferences written by George S. Alogoskoufis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Business cycles categories.

Estimation And Specification Testing Of Panel Data Models With Non Ignorable Persistent Heterogeneity Contemporaneous And Intertemporal Simultaneity And Observable And Unobservable Dynamics

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Author :
language : en
Publisher:
Release Date : 2019

Estimation And Specification Testing Of Panel Data Models With Non Ignorable Persistent Heterogeneity Contemporaneous And Intertemporal Simultaneity And Observable And Unobservable Dynamics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

Estimating Discount Factors Within A Random Utility Theoretic Framework

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Author :
language : en
Publisher:
Release Date : 2008

Estimating Discount Factors Within A Random Utility Theoretic Framework written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Estimating Life Cycle Labor Supply Tax Effects

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Author : James P. Ziliak
language : en
Publisher:
Release Date : 1999

Estimating Life Cycle Labor Supply Tax Effects written by James P. Ziliak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

We present an econometrically tractable life cycle labor supply model for panel data including intertemporally progressive taxes on uncertain wage and nonwage incomes. Our two-stage fixed-effects generalized method-of-moments approach first estimates intratemporal and then intertemporal preferences. Specification testing demonstrates the value of incorporating joint progressive taxation of labor and nonlabor incomes. Results for prime-age men emphasize the roles played by hourly wage endogeneity, worker-specific effects, the measure of the rate of pay, and intertemporal budget constraint nonseparability. Simulations indicate that recent tax reforms, while not self-financing, stimulated male labor supplied by about 3 percent and reduced deadweight loss by about 16 percent.