The age-time-cohort problem and the identification of structural parameters in life-cycle models

• 成果类型: Article
• 署名作者: Schulhofer-Wohl, Sam
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE738
• 发表日期: 2018
• 页码: 643-658
• 关键词: Age-time-cohort identification problem; life-cycle models

摘要

A 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 this approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I illustrate the method's benefits analytically in a simple model of consumption inequality and numerically by reestimating the classic life-cycle consumption model of Gourinchas and Parker (2002).