A cointegration approach to estimating preference parameters
A cointegration approach to estimating preference parameters
复制标题
估计偏好参数的协整方法
DOI：
10.1016/s0304-4076(97)00053-5
复制
发表时间：
1997
影响因子：
6.3
通讯作者：
Joon Y. Park
中科院分区：
文献类型：
--
作者：
M. Ogaki;Joon Y. Park
在本文中，我们估计了非耐用消费的(长期)跨期替代弹性，这通常是用广义矩方法(GMM)来估计的。然而，在流动性约束、异质消费者聚集、未知偏好冲击或一般形式的时间不可分性的情况下，GMM估计并不一致。我们使用Engle和Granger的协整方法来开发一个即使在这些因素存在的情况下也是一致的估计量。然后，我们形成一个正式的检验，将使用协整技术获得的估计与使用GMM获得的估计进行比较。
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.