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Micro-level estimation of optimal consumption choice with intertemporal nonseparability in preferences and measurement errors
Gayle, Wayne-Roy; Khorunzhina, Natalia - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 227-238
Persistent link: https://www.econbiz.de/10011894677
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Micro-Level Estimation of Optimal Consumption Choice with Intertemporal Nonseparability in Preferences and Measurement Errors
Gayle, Wayne Roy - 2019
This paper investigates the presence of habit formation in household consumption, using data from the Panel Study of Income Dynamics. We develop an econometric model of internal habit formation of the multiplicative specification. The restrictions of the model allow for classical measurement...
Persistent link: https://www.econbiz.de/10012906215
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Non-linear dynamics and predictable forecast errors : an application to the OECD forecasts for Germany
Antzulatos, Angelos A. (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001756414
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Non-linear dynamics and predictable forecast errors : an application to the OECD forecasts for Germany
Antzulatos, Angelos A. - 2003
Persistent link: https://www.econbiz.de/10013430530
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Misclassification in binary choice models
Meyer, Bruce D.; Mittag, Nikolas - In: Journal of econometrics 200 (2017) 2, pp. 295-311
Persistent link: https://www.econbiz.de/10011917256
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Empirical demand systems incorporating intertemporal consumption dynamics
Kim, H. Youn; McLaren, Keith Robert; Wong, K. K. Gary - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 349-370
Persistent link: https://www.econbiz.de/10009780040
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Nonparametric Euler equation identification and estimation
Lewbel, Arthur; Linton, Oliver - 2010
Persistent link: https://www.econbiz.de/10008666379
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Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur - 2015
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility … estimation with the computation of a matrix eigenvector problem. Our estimator avoids the ill-posed inverse issues associated …
Persistent link: https://www.econbiz.de/10011341255
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Nonparametric euler equation identification and estimation
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur - In: Econometric theory 37 (2021) 5, pp. 851-891
Persistent link: https://www.econbiz.de/10012656387
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Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos; Hoderlein, Stefan; Lewbel, Arthur - 2020
Persistent link: https://www.econbiz.de/10013205434