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

提出了一类效用函数，它放松了一些 这些限制性假设限制了当前的模型。 具体来说，不再需要时间和状态的可分离性。 关于时间可分性，一个递归的（由于库普曼斯） 规范允许消费休闲权衡在任何 这一时期取决于随后的消费和休闲水平。 次这种依赖性削弱了强加的先验约束 在消费的相对反应的标准模型中， 价格和收入的冲击，这使得人们可以 更灵活地模拟每种产品的跨期可替代性 消费和休闲。关于状态可分性， 这种宽松的假设具有灵活性， 风险规避的跨期替代性。 这项工作的另一个贡献是，它允许 估计替代效用规格。的预测 在理论部分开发的模型不同 从预期效用模型和 可分离模型这些替代品可以在 单独地或共同地。期望效用是一种嵌套的特殊情况 并且可以作为简单的参数约束进行测试。时间- 可以使用非嵌套测试来测试可分性效用。这 该项目将提供第一个这样的模型实证测试 同时体现了时间和状态的不可分离性。 这里采用的方法将使非常灵活的建模， 跨期替代弹性，允许一定程度的分离 风险偏好和替代偏好之间的关系， 允许财富和替代品之间更大的分离 方面的影响.实证检验将允许定量 分析状态和时间的重要性 动态经济分析的不可分离性。

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.