Measuring consumption smoothing in CEX data
成果类型：
Article
署名作者：
Gervais, Martin; Klein, Paul
署名单位：
University of Southampton
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2010.08.009
发表日期：
2010
页码：
988-999
关键词：
摘要：
A new method of measuring the degree of consumption smoothing is proposed and implemented using data from the Consumer Expenditure Survey The structure of this Survey is such that estimators previously used in the literature are inconsistent simply because income is measured annually and consumption is measured quarterly An AR(1) structure is Imposed on the income process to obtain a proxy for quarterly Income through a projection on annual income By construction this proxy gives rise to a measurement error which is orthogonal to the proxy itself-as opposed to the unobserved regressor leading to a consistent estimator Our estimates are contrasted with the output of two estimators used in the literature This comparison shows that while the first (OLS) estimator tends to overstate the degree of risk sharing the second (IV) estimator grossly understates it (C) 2010 Elsevier B V All rights reserved
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