search query: @author Ogaki, M. / total: 3
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| Author: | Ogaki, M. Park, J. Y. |
| Title: | A cointegration approach to estimating preference parameters |
| Journal: | Journal of Econometrics
1998 : JAN, Vol. 82:1, p. 107-134 |
| Index terms: | ESTIMATION NON-DURABLE GOODS CONSUMPTION |
| Language: | eng |
| Abstract: | 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 heterogenous 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. |
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