| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0253 |
| 来源ID | Technical Working Paper 0253 |
| Estimating Euler Equations | |
| Orazio P. Attanasio; Hamish Low | |
| 发表日期 | 2000-05-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | In this paper we consider conditions under which the estimation of a log-linearized Euler equation for consumption yields consistent estimates of the preference parameters. When utility is isoelastic and a sample covering a long time period is available, consistent estimates are obtained from the log-linearized Euler equation when the innovations to the conditional variance of consumption growth are uncorrelated with the instruments typically used in estimation. We perform a Montecarlo experiment, consisting in solving and simulating a simple life cycle model under uncertainty, and show that in most situations, the estimates obtained from the log-linearized equation are not systematically biased. This is true even when we introduce heteroscedasticity in the process generating income. The only exception is when discount rates are very high (47% per year). This problem arises because consumers are nearly always close to the maximum borrowing limit: the estimation bias is unrelated to the linearization. Finally, we plot life cycle profiles for the variance of consumption growth, which, except when the discount factor is very high, is remarkably flat. This implies that claims that demographic variables in log-linearized Euler equations capture changes in the variance of consumption growth are unwarranted. |
| 主题 | Macroeconomics ; Consumption and Investment |
| URL | https://www.nber.org/papers/t0253 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565237 |
| 推荐引用方式 GB/T 7714 | Orazio P. Attanasio,Hamish Low. Estimating Euler Equations. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0253.pdf（1702KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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