Dynamic Quantile Models of Rational Behavior

Dynamic Quantile Models of Rational Behavior
复制标题

理性行为的动态分位数模型

DOI：
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发表时间：
2019
期刊：
Econometrica
影响因子：
6.1
通讯作者：
A. Galvao
A. Galvao
中科院分区：
经济学1区
文献类型：
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作者：
Luciano I. de Castro;A. Galvao

文献摘要

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本文建立了一个不确定条件下的理性行为的动态模型，在这个模型中，代理人最大化未来流 τ-分位数效用，用于 τ ∈（0，1）。也就是说，代理人有一个分位数效用偏好，而不是标准的预期效用。分位数偏好具有有用的优势，包括捕获异质性的能力，并允许跨期替代的风险规避和弹性之间的分离。虽然分位数不具有期望的一些有用特性，例如线性和迭代期望定律，但我们能够在动态模型中建立所有标准结果。也就是说，我们证明了分位数偏好是动态一致的，相应的动态问题产生一个值函数，通过一个不动点参数，这个值函数是凹的和可微的，最优性原理成立。此外，我们推导出相应的欧拉方程，该方程非常适合使用众所周知的分位数回归方法来估计和检验经济模型。通过这种方式，模型的参数可以被解释为结构对象。因此，所提出的方法提供了微观经济基础的分位数回归方法。为了说明这些发展，我们构建了一个跨期消费模型，并估计了跨分位数的跨期替代参数的折扣因子和弹性。结果提供了这些参数异质性的证据。
This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future τ‐quantile utilities, for τ ∈ (0,1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful advantages, including the ability to capture heterogeneity and allowing the separation between risk aversion and elasticity of intertemporal substitution. Although quantiles do not share some of the helpful properties of expectations, such as linearity and the law of iterated expectations, we are able to establish all the standard results in dynamic models. Namely, we show that the quantile preferences are dynamically consistent, the corresponding dynamic problem yields a value function, via a fixed point argument, this value function is concave and differentiable, and the principle of optimality holds. Additionally, we derive the corresponding Euler equation, which is well suited for using well‐known quantile regression methods for estimating and testing the economic model. In this way, the parameters of the model can be interpreted as structural objects. Therefore, the proposed methods provide microeconomic foundations for quantile regression methods. To illustrate the developments, we construct an intertemporal consumption model and estimate the discount factor and elasticity of intertemporal substitution parameters across the quantiles. The results provide evidence of heterogeneity in these parameters.