The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models
AbstractThe standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the "age profile" of outcomes, then chooses model parameters so that the model's age profile matches this empirical age profile. I show that the standard approach is both incorrect and unnecessary: incorrect, because it generically produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker fewer assumptions. I derive an identification method that avoids the problems of the standard approach and illustrate its benefits in a simple model of consumption inequality.
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Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2012 Meeting Papers with number 575.
Date of creation: 2012
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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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Other versions of this item:
- Sam Schulhofer-Wohl, 2013. "The age-time-cohort problem and the identification of structural parameters in life-cylce models," Working Papers 707, Federal Reserve Bank of Minneapolis.
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- Sam Schulhofer-Wohl & Yang Yang, 2011. "Modeling the evolution of age and cohort effects in social research," Staff Report 461, Federal Reserve Bank of Minneapolis.
- Mariacristina De Nardi & Eric French & John Bailey Jones, 2009.
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Working Paper Series
WP-09-02, Federal Reserve Bank of Chicago.
- Mariacristina De Nardi & Eric French & John B. Jones, 2010. "Why Do the Elderly Save? The Role of Medical Expenses," Journal of Political Economy, University of Chicago Press, vol. 118(1), pages 39-75, 02.
- Mariacristina De Nardi & Eric French & John Bailey Jones, 2009. "Why do the Elderly Save? The Role of Medical Expenses," NBER Working Papers 15149, National Bureau of Economic Research, Inc.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- The age-time-cohort problem and the identification of structural parameters in life-cylce models
by Christian Zimmermann in NEP-DGE blog on 2013-07-22 03:53:16
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