This paper solves the stochastic inverse optimal problem. Dynamic programming is used to transform the origina l problem into a differential equation. A solution exists for any pro duction function with a finite slope at the origin provided the savin gs function, starting from the origin, is steep initially and flat ev entually. Three consumption functions-linear, Keynes-ian, and Cantabr igian-are also studied with a Cobb-Douglas production technology. A w ell-known result in discrete time models-that a logarithmic utility f unction and a Cobb-Douglas production function imply a Keynesian cons umption function-does not carry through to the continuous time case. Copyright 1988 by The Econometric Society.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Article provided by Econometric Society in its journal Econometrica.
Volume (Year): 56 (1988) Issue (Month): 1 (January) Pages: 147-72 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
repec:bep:maccon:v:6:y:2006:i:1:p:1356-1356 is not listed on IDEAS