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Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model

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  • Adang, Pim
  • Melenberg, Bertrand

Abstract

In a standard multi-good life-cycle consumption model (with intertemporal additive utility) the intratemporal relations between the marginal utilities of the different goods are deterministic. However, these deterministic identities will not usually be satisfied by the data. To avoid these deterministic relationships, we apply an approach which consists of introducing intratemporal uncertainty, and which is, in particular, interesting when additional nonnegativity constraints are present. We estimate some simple versions of the model with this so-called intratemporal uncertainty. The estimation results are, in general, in accordance with the theory, and most versions of the model are not rejected by Hansen and Singleton's misspecification test. Copyright 1995 by John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 10 (1995)
Issue (Month): 1 (Jan.-March)
Pages: 1-15

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Handle: RePEc:jae:japmet:v:10:y:1995:i:1:p:1-15

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Cited by:
  1. Kelly, Clare & Gauthier Lanot, 2002. "Consumption Patterns over Pay Periods," Royal Economic Society Annual Conference 2002 112, Royal Economic Society.
  2. Einmahl, J.H.J. & Keilegom, I. van, 2004. "Goodness-of-fit Tests in Nonparametric Regression," Discussion Paper 2004-12, Tilburg University, Center for Economic Research.
  3. Melenberg, Bertrand, 1997. "Life cycle consumption models with uncertainty within periods," Economics Letters, Elsevier, vol. 57(1), pages 1-4, November.
  4. Einmahl, J.H.J. & Keilegom, I. van, 2006. "Tests for Independence in Nonparametric Regression," Discussion Paper 2006-80, Tilburg University, Center for Economic Research.

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