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An Estimation of Deep Parameters Describing Argentine Consumer Behaviour

Author

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  • Lorena Garegnani
  • Hildegart Ahumada

Abstract

This paper investigates the microfoundation of consumer decisions in Argentina. Structural parameters are estimated following the Euler Equation-GMM approach. Attention is focussed on parameter instability, an empirical difficulty for applying this method often pointed out in the literature. The rates of return on assets are approximated by the real interest rate and the rate of growth of real exchange rate as they have been considered as the main variables explaining variations of Argentine “wealth†. The results show that parameter estimates have the expected values and signs. Overidentifying restrictions are tested and the null hypothesis of validity of instruments is not rejected. Estimates are also robust for different specifications of the weighting matrix. However, parameter constancy is jointly rejected. Recursive estimates show that the risk aversion coefficient appears as more unstable than the impatience parameter, which is also the less uncertain within sample. Observed changes in estimates seem to be an appropriate response to different macroeconomic frameworks.

Suggested Citation

  • Lorena Garegnani & Hildegart Ahumada, 2004. "An Estimation of Deep Parameters Describing Argentine Consumer Behaviour," Econometric Society 2004 Latin American Meetings 159, Econometric Society.
    • Handle: RePEc:ecm:latm04:159
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    Cited by:

    1. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2007. "Testing hyperbolic discounting in consumer decisions: Evidence for Argentina," Economics Letters, Elsevier, vol. 95(1), pages 146-150, April.
    2. Mercado, P. Ruben & Cicowiez, Martin, 2013. "Growth analysis in developing countries: empirical issues and a small dynamic model," MPRA Paper 58017, University Library of Munich, Germany.

    More about this item

    Keywords

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    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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