Measuring intertemporal substitution: The role of durable goods

Masao Ogaki, Carmen M. Reinhart

研究成果: Article査読

183 被引用数 (Scopus)

抄録

In estimating the intertemporal elasticity of substitution, Hall finds that, when one takes account of time aggregation, point estimates are small and not significantly different from zero. He concludes that the elasticity is unlikely to be much above 0.1 and may well be zero. Applying improved inference methods to an economic model similar to Hall's, Hansen and Singleton show that there is considerably less precision in the estimation. We argue that the model used by these authors is misspecified because the intratemporal substitution between nondurable consumption goods and durable consumption goods is ignored. We use a two-step procedure that combines a cointegration approach to preference parameter estimation with generalized method of moments to take these effects into account. Our estimates for the intertemporal elasticity.

本文言語English
ページ(範囲)1078-1098
ページ数21
ジャーナルJournal of Political Economy
106
5
DOI
出版ステータスPublished - 1998
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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