Stochastic components of individual consumption: a time series analysis of grouped data
In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate sho...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2006
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
12456 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate shocks. Having estimated the parameters of a flexible multivariate MA representation we relate the coefficients of our statistical model to structural parameters of theoretical models of consumption behaviour. Our approach offers a unifying framework that encompasses the Euler equation approach to the study of consumption and the studies that relate innovations to income to innovations to consumption, such as those that have found the so-called excess smoothness of consumption. Using a long time series of cross sections to construct synthetic panel data for the UK, we estimate our model and find that the restriction of Euler equations are typically not rejected, while the data show ﾑexcess smoothnessﾒ. |
| Beschreibung: | Literaturverz. S. 31 - 33 |
| Beschreibung: | 46 S. 22 cm |
Internformat
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| 245 | 1 | 0 | |a Stochastic components of individual consumption |b a time series analysis of grouped data |c Orazio P. Attanasio, Margherita Borella |
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Datensatz im Suchindex
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| author | Attanasio, Orazio P. 1959- Borella, Margherita |
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| id | DE-604.BV023592383 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T22:41:30Z |
| indexdate | 2024-07-09T21:25:12Z |
| institution | BVB |
| language | English |
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| physical | 46 S. 22 cm |
| publishDate | 2006 |
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| spelling | Attanasio, Orazio P. 1959- Verfasser (DE-588)129180084 aut Stochastic components of individual consumption a time series analysis of grouped data Orazio P. Attanasio, Margherita Borella Cambridge, Mass. National Bureau of Economic Research 2006 46 S. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12456 Literaturverz. S. 31 - 33 In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate shocks. Having estimated the parameters of a flexible multivariate MA representation we relate the coefficients of our statistical model to structural parameters of theoretical models of consumption behaviour. Our approach offers a unifying framework that encompasses the Euler equation approach to the study of consumption and the studies that relate innovations to income to innovations to consumption, such as those that have found the so-called excess smoothness of consumption. Using a long time series of cross sections to construct synthetic panel data for the UK, we estimate our model and find that the restriction of Euler equations are typically not rejected, while the data show ﾑexcess smoothnessﾒ. Borella, Margherita Verfasser (DE-588)132379961 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12456 (DE-604)BV002801238 12456 http://papers.nber.org/papers/w12456.pdf kostenfrei Volltext |
| spellingShingle | Attanasio, Orazio P. 1959- Borella, Margherita Stochastic components of individual consumption a time series analysis of grouped data |
| title | Stochastic components of individual consumption a time series analysis of grouped data |
| title_auth | Stochastic components of individual consumption a time series analysis of grouped data |
| title_exact_search | Stochastic components of individual consumption a time series analysis of grouped data |
| title_exact_search_txtP | Stochastic components of individual consumption a time series analysis of grouped data |
| title_full | Stochastic components of individual consumption a time series analysis of grouped data Orazio P. Attanasio, Margherita Borella |
| title_fullStr | Stochastic components of individual consumption a time series analysis of grouped data Orazio P. Attanasio, Margherita Borella |
| title_full_unstemmed | Stochastic components of individual consumption a time series analysis of grouped data Orazio P. Attanasio, Margherita Borella |
| title_short | Stochastic components of individual consumption |
| title_sort | stochastic components of individual consumption a time series analysis of grouped data |
| title_sub | a time series analysis of grouped data |
| url | http://papers.nber.org/papers/w12456.pdf |
| volume_link | (DE-604)BV002801238 |
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