Intertemporal substitution, imports and the permanent income model

• 成果类型: Article
• 署名作者: Amano, RA; Wirjanto, TS
• 署名单位: University of Waterloo
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(95)01418-7
• 发表日期: 1996
• 页码: 439-457
• 关键词: intertemporal elasticity of substitution; imports; consumption; cointegration; generalized method of moments

摘要

We examine the importance of intertemporal substitution in U.S. import consumption using a model of permanent income that allows for random preference shocks and additive separability. The latter feature allows us to take two estimation approaches. In the first approach, we show that there is a cointegrating restriction imposed by the first-order conditions of the model which allows us to estimate the intertemporal elasticity of imported and domestic goods consumption. In the second approach, we estimate the Euler equations using generalized method of moments. This approach, however, requires us to place some restrictive assumptions on the model that are not required for the first estimation approach. Thus, the two different approaches allow an assessment of the severity of these restrictive assumptions which are often imposed in the literature.