Consumption, Labor Supply and Portfolio Choice with Time andState Nonseparable Utility

提出了一类效用函数，放宽了现有模型的一些限制性假设。具体来说，不再需要时间和状态可分离性。关于时间可分离性，递归（由于Koopmans）规范允许任何时期的消费-休闲权衡取决于随后时间的消费和休闲水平。这种依赖性削弱了标准模型中对消费和休闲对价格和收入冲击的相对反应的先验约束，这使得人们能够更灵活地建立消费和休闲各自的期间可替代性模型。在状态可分离性方面，这种宽松的假设具有将跨期可替代性与风险厌恶区分开来的灵活性。这项工作的另一个贡献是，它允许对可选择的实用程序规范进行评估。理论部分对模型的预测与预期的实用新型和可分离模型都有很大的不同。这些替代方案可以单独或联合进行测试。预期实用程序是嵌套的特殊情况，可以作为简单的参数限制进行测试。可以使用非嵌套测试来测试时间可分离性实用程序。这个项目将提供第一个这样的实证测试的模型，体现时间和状态不可分性。这里采用的方法将使跨期替代弹性的建模非常灵活，允许风险偏好和替代偏好之间的一些分离，也允许财富和替代效应之间的更大分离。实证检验将允许对状态不可分性和时间不可分性对动态经济分析的重要性进行定量分析。

A class of utility functions is proposed which relaxes some of the restrictive assumptions constrains current models. Specifically, time and state separability are no longer required. With respect to time separability, a recursive (due to Koopmans) specification permits the consumption-leisure tradeoff in any period to depend on consumption and leisure levels in subsequent times. This dependence weakens the a priori constraints imposed in the standard models on the relative responses of consumption and leisure to price and income shocks and this permits one to model more flexibly the intertermporal substitutability of each of consumption and leisure. With respect to state separability, this relaxed assumption has the flexibility to disentangle intertemporal substitutability from risk aversion. A further contribution of this work is that it allows for the estimation of alternative utility specifications. The predictions of the model developed in the theoretical section differ significantly from both the expected utility model and the separable model. These alternatives can be tested wither separately or jointly. Expected utility is a nested special case and can be tested as a simple parameter restriction. Time- separability utility can be tested using non-nested tests. This project will provide the first such empirical testing of a model that embodies both time and state nonseparabilities. The approach taken here will enable a very flexible modeling of intertemporal substitution elasticities, allowing some separation between risk preferences and substitution preferences and also allowing a greater separation between wealth and substitution effects. The empirical testing will permit a quantitative analysis of the importance of both state and time nonseparabilities for dynamic economic analysis.