Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data

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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 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.

Intertemporal Substitution In Macroeconomics

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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 1982

Intertemporal Substitution In Macroeconomics written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Consumption (Economics) categories.

Modern neoclassical theories of the business cycle posit that aggregate fluctuations in consumption and employment are the consequence of dynamic optimizing behavior by economic agents who face no quantity constraint. In this paper, we estimate an explicit model :f this type. In particular, we assume that the observed fluctuations correspond to the decisions of an optimizing representative individual. This individual has a stable utility function which is additively separable over time but not necessarily additively separable in consumption and leisure. We estimate three first order conditions which represent three margins on which the individual is optimizing. He can trade off present consumption for future consumption, present leisure for future leisure and present consumption for present leisure. Our results show that the aggregate U.S. data are extremely reluctant to be characterized by a model of this type. Not only are the overidentifying restrictions statistically rejected but, in addition, the estimated utility function is often not concave. Even when it is concave the estimates imply that either consumption or leisure is an inferior good.

Intertemporal Substitution In Macroeconomics

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Author : Ali Dib
language : en
Publisher:
Release Date : 2005

Intertemporal Substitution In Macroeconomics written by Ali Dib and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Employment (Economic theory) categories.

"The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. The authors show that a two-dimensional labour supply model, adapted to an environment with money as originally proposed by Lucas and Rapping (1969) and Lucas (1972), performs very well. The overidentifying restrictions implied by the model are far from rejected. The estimated parameters of preferences are generally stable and meaningful. Furthermore, the estimated wage elasticities of labour supply are much higher than previously found in the literature. "--pub. website.

Recursive Models Of Dynamic Linear Economies

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Author : Lars Peter Hansen
language : en
Publisher: Princeton University Press
Release Date : 2018-07-10

Recursive Models Of Dynamic Linear Economies written by Lars Peter Hansen and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-10 with Business & Economics categories.

A guide to the economic modeling of household preferences, from two leaders in the field A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Hansen and Sargent unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book, based on the 2012 Gorman lectures, stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB programs that apply to the book's calculations.

Intertemporal Substitution In Macroeconomics Evidence Of A Two Dimensional Labour Supply Mode With Money

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Author : Phaneuf, Louis
language : en
Publisher:
Release Date : 2005

Intertemporal Substitution In Macroeconomics Evidence Of A Two Dimensional Labour Supply Mode With Money written by Phaneuf, Louis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Labor supply categories.

Rational Expectations Econometrics

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Author : Lars Peter Hansen
language : en
Publisher: CRC Press
Release Date : 2019-09-05

Rational Expectations Econometrics written by Lars Peter Hansen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-05 with Mathematics categories.

At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Theory Of Valuation

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Author : Sudipto Bhattacharya
language : en
Publisher: Rowman & Littlefield
Release Date : 1989

Theory Of Valuation written by Sudipto Bhattacharya and has been published by Rowman & Littlefield this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.

Major themes in theoretical financial economics since 1973 are presented through reprinted articles, each followed by a substantial essay by a leading scholar in the field. These original papers were written expressly for these volumes and provide a critical discussion and overview of the topic. The books thus present a broad spectrum of viewpoints with an emphasis on the work on valuation, economics of uncertainty, and taxation which pertains to the problems of financial markets and corporations.

Advances In Econometrics Volume 1

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Author : Christopher A. Sims
language : en
Publisher: Cambridge University Press
Release Date : 1996-03-07

Advances In Econometrics Volume 1 written by Christopher A. Sims and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-03-07 with Business & Economics categories.

The first of a two-volume set of articles reflecting the current state of research in econometrics.

Theory Of Valuation 2nd Edition

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Author : Sudipto Bhattacharya
language : en
Publisher: World Scientific
Release Date : 2005-07-12

Theory Of Valuation 2nd Edition written by Sudipto Bhattacharya and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-12 with Business & Economics categories.

The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz.Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition.This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced Master's and undergraduate courses.In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, “Recursive Competitive Equilibrium: The Case of Homogeneous Households,” originally published in Econometrica in 1980.