Are there restrictions to consumption smoothing in Latin American countries? Differences between OLS and GLS estimation
AbstractWe study empirically how close consumption-smoothing models employing present-value relationships fit data for Latin-American countries, either in an open-economy or closed-economy environment. Bivariate VARS are estimated using either individual-system or a joint-system techniques (OLS or GLS - SURE). The latter are more efficient, as is widely known. Interestingly, Wald-Test results for OLS estimates are consistent with consumption smoothing, while GLS are not. However, this last result contradicts previous literature on this issue, which have found that Latin-American countries conform to consumption-smoothing models, with free-capital mobility and no liquidity constraints, which seems odd, given these countries' recent history
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 246.
Date of creation: 11 Aug 2004
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consumption; SURE; efficiency;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
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