A cointegration approach to estimating preference parameters

Masao Ogaki, Joon Y. Park

研究成果: Article査読

59 被引用数 (Scopus)

抄録

In this paper, we estimate the (long-run) intertemporal elasticity of substitution of non-durable consumption, which has often been estimated with the generalized methods of moments (GMM). The GMM estimator, however, is not consistent in the presence of liquidity constraints, aggregation over heterogeneous consumers, unknown preference shocks, or a general form of time-nonseparability. We use Engle and Granger's cointegration methodology in order to develop an estimator which is consistent even in the presence of these factors. We then form a formal test that compares the estimates obtained using cointegration techniques with those obtained using GMM.

本文言語English
ページ(範囲)107-134
ページ数28
ジャーナルJournal of Econometrics
82
1
DOI
出版ステータスPublished - 1998 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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