A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving ☆
A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving ☆
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DOI：
10.1016/j.jeconom.2009.10.032
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发表时间：
2010-07
影响因子：
6.3
通讯作者：
Joon Y. Park;Kwanho Shin;Yoon-Jae Whang
中科院分区：
文献类型：
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作者：
Joon Y. Park;Kwanho Shin;Yoon-Jae Whang
我们考虑一类半参数协整回归模型，该模型的不平衡误差可以用随时间变化的分布泛函作进一步的非参数解释。发展了该模型的统计理论。我们提出了一个有效的计量经济估计量，并得到了它的渐近分布。文中还对模型进行了规范测试。运用该模型和方法分析了美国人口老龄化对消费水平和储蓄率的影响。我们发现，年龄分布对消费水平和储蓄率的影响符合生命周期假说。
We consider a semiparametric cointegrating regression model, for which the disequilibrium error is further explained nonparametrically by a functional of distributions changing over time. The paper develops the statistical theories of the model. We propose an efficient econometric estimator and obtain its asymptotic distribution. A specification test for the model is also investigated. The model and methodology are applied to analyze how an aging population in the US influences the consumption level and the savings rate. We find that the impact of age distribution on the consumption level and the savings rate is consistent with the life-cycle hypothesis.