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Intertemporal substitution and durable goods: long-run data

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  • Reinhart, Carmen
  • Ogaki, Masao

Abstract

In this paper, we use long-run annual data to estimate the intertemporal elasticity of substitution while accounting for the intra-temporal substitution between nondurable consumption goods and durable consumption goods. We apply a two-step procedure that combines a cointegration approach to preference parameter estimation with Generalized Method of Moments.

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File URL: http://mpra.ub.uni-muenchen.de/13683/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13683.

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Date of creation: 1998
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Handle: RePEc:pra:mprapa:13683

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Keywords: consumption real interest rates durable goods cointegration;

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References

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  1. Lars Peter Hansen & Kenneth J. Singleton, 1997. "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0086, National Bureau of Economic Research, Inc.
  2. Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 404, University of Rochester - Center for Economic Research (RCER).
  3. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 119-43, January.
  4. Wykoff, Frank C, 1970. "Capital Depreciation in the Postwar Period: Automobiles," The Review of Economics and Statistics, MIT Press, vol. 52(2), pages 168-72, May.
  5. Eichenbaum, Martin & Hansen, Lars Peter, 1990. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 53-69, January.
  6. han, H.L. & Ogaki, M., 1991. "Consumption, Income, and Cointegration Further Analysis," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 305, University of Rochester - Center for Economic Research (RCER).
  7. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
  8. Cooley, Thomas F & Ogaki, Masao, 1996. "A Time Series Analysis of Real Wages, Consumption, and Asset Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(2), pages 119-34, March-Apr.
  9. Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 209, University of Rochester - Center for Economic Research (RCER).
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Cited by:
  1. Humala, Alberto & Rodríguez, Gabriel, 2009. "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers, Banco Central de Reserva del Perú 2009-009, Banco Central de Reserva del Perú.
  2. Okubo, Masakatsu, 2008. "Intertemporal substitution and nonhomothetic preferences," Economics Letters, Elsevier, Elsevier, vol. 98(1), pages 41-47, January.
  3. repec:van:wpaper:vuecon-sub-13-00002 is not listed on IDEAS
  4. José E. Boscá & Antonio Cutanda & Javier Escribá, 2006. "Efficiency in the provision of public and private capital in 15 OECD countries," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 30(2), pages 207-237, May.
  5. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  6. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, Elsevier, vol. 51(7), pages 1768-1784, October.
  7. Mésonnier, J-S. & Renne, J-P., 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers, Banque de France 115, Banque de France.
  8. Auteri, Monica & Costantini, Mauro, 2010. "A panel cointegration approach to estimating substitution elasticities in consumption," Economic Modelling, Elsevier, Elsevier, vol. 27(3), pages 782-787, May.
  9. Erdem Basci & Ismail Saglam, 2008. "On Roots of Housing Bubbles," Working Papers, TOBB University of Economics and Technology, Department of Economics 0801, TOBB University of Economics and Technology, Department of Economics.
  10. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 29(3), pages 455-481, September.
  11. Mauricio Arango & Carlos Esteban Posada & Jorge Andrés Tamayo, 2011. "El sistema crediticio, la política monetaria y un posible origen de ciclos y crisis financieras," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
  12. Donald S. Allen & Leonce Ndikumana, 1999. "Income inequality and minimum consumption: implications for growth," Working Papers, Federal Reserve Bank of St. Louis 1999-013, Federal Reserve Bank of St. Louis.
  13. Bokan, Nikola & Hughes Hallett, Andrew, 2007. "The Impact of Tax, Product and Labour Market Distortions on the Phillips Curve and the Natural Rate of Unemployment," Economics Discussion Papers, Kiel Institute for the World Economy 2007-42, Kiel Institute for the World Economy.
  14. Atif Mian & Amir Sufi, 2010. "The Effects of Fiscal Stimulus: Evidence from the 2009 ‘Cash for Clunkers’ Program," NBER Working Papers 16351, National Bureau of Economic Research, Inc.
  15. Andrew Hughes Hallett, 2010. "Why Do Some Countries Undertake Structural Reforms When Others Do Not? Evidence From The Oecd And Emerging Market Economies," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 81-103.
  16. Steven Lugauer & Nelson Mark & Horag Choi, 2013. "The Size of the Precautionary Component of Household Saving: China and the U.S," 2013 Meeting Papers, Society for Economic Dynamics 1046, Society for Economic Dynamics.
  17. Sang-Wook Stanley Cho, 2007. "Household Wealth Accumulation and Portfolio Choices in Korea," Discussion Papers, School of Economics, The University of New South Wales 2007-26, School of Economics, The University of New South Wales.
  18. Bokan, Nikola & Hughes Hallett, Andrew, 2008. "The Impact of Tax and Market Distortions on the Phillips Curve and the Natural Rate of Unemployment," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 2(27), pages 1-28.

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