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Publication Bias in Measuring Intertemporal Substitution

I examine 2,735 estimates of the elasticity of intertemporal substitution in consumption (EIS) reported in 169 published studies. The literature shows strong publication bias: researchers report negative and insignificant estimates less often than they should, which pulls the mean estimate up by about 0.5. When I correct the mean for the bias, for macro estimates I get zero, even though the reported t - statistics are on average two. The corrected mean of micro estimates for asset holders is around 0.3–0.4. Calibrations of the EIS greater than 0.8 are inconsistent with the bulk of the empirical evidence.

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Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2013/15.

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Length: 26pages
Date of creation: Oct 2013
Date of revision: Oct 2013
Handle: RePEc:fau:wpaper:wp2013_15
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