TY - JOUR
T1 - Life-cycle behaviour of US households. A nonlinear GMM estimation on pseudopanel data
AU - Beine, Michel
AU - Bismans, Francis
AU - Docquier, Fréderic
AU - Laurent, Sébastien
PY - 2001
Y1 - 2001
N2 - Since Auerbach and Kotlikoff's [(1987). Dynamic fiscal policy. Cambridge: Cambridge University Press] studies, the overlapping generations (OLG) model has become a useful modelling tool of policy evaluation. Given the lack of data on life-cycle behaviour, the parameterisation of such models is cumbersome. The purpose of this paper is to offer an econometrics-based method for estimating the utility function parameters. These parameters determine both the short-run responses to policy shocks and the speed of convergence toward the long-run solution. We use the US Consumer Expenditure Survey data and create a pseudopanel data bank with representative agents. Our estimators are obtained by compiling generalised method of moments (GMM) yearly values following the minimum distance estimation (MDE) of Chamberlain [(1984). Panel data. In Z. Griliches & M. D. Intriligator (Eds.), Handbook of econometrics II (pp. 1247-1318). Amsterdam: North-Holland]. It is shown that leisure is not an explicit argument of the utility function, the intertemporal elasticity of substitution is rather low, and aggregated purchases of goods present some durability.
AB - Since Auerbach and Kotlikoff's [(1987). Dynamic fiscal policy. Cambridge: Cambridge University Press] studies, the overlapping generations (OLG) model has become a useful modelling tool of policy evaluation. Given the lack of data on life-cycle behaviour, the parameterisation of such models is cumbersome. The purpose of this paper is to offer an econometrics-based method for estimating the utility function parameters. These parameters determine both the short-run responses to policy shocks and the speed of convergence toward the long-run solution. We use the US Consumer Expenditure Survey data and create a pseudopanel data bank with representative agents. Our estimators are obtained by compiling generalised method of moments (GMM) yearly values following the minimum distance estimation (MDE) of Chamberlain [(1984). Panel data. In Z. Griliches & M. D. Intriligator (Eds.), Handbook of econometrics II (pp. 1247-1318). Amsterdam: North-Holland]. It is shown that leisure is not an explicit argument of the utility function, the intertemporal elasticity of substitution is rather low, and aggregated purchases of goods present some durability.
KW - GMM estimation
KW - OLG model
KW - Pseudopanel
UR - http://www.mendeley.com/research/lifecycle-behaviour-households-nonlinear-gmm-estimation-pseudopanel-data
U2 - 10.1016/S0161-8938(01)00087-4
DO - 10.1016/S0161-8938(01)00087-4
M3 - Article
SN - 0161-8938
VL - 23
SP - 713
EP - 729
JO - Journal of Policy Modeling
JF - Journal of Policy Modeling
IS - 7
ER -