MODELING MOVEMENTS IN INDIVIDUAL CONSUMPTION: A TIME-SERIES ANALYSIS OF GROUPED DATA

• 成果类型: Article
• 署名作者: Attanasio, Orazio P.; Borella, Margherita
• 署名单位: University of London; University College London; London School Economics & Political Science; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Turin; Tilburg University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12079
• 发表日期: 2014
• 页码: 959-991
• 关键词: life-cycle; intertemporal substitution; rational-expectations; excess smoothness; labor income; GROWTH; permanent; elasticity; hypothesis; allocation

摘要

We characterize the time-series properties of group-level consumption, income, and interest rates using microdata. We relate the coefficients of moving average representations to structural parameters of theoretical models of consumption behavior. Using long time series of cross sections to construct synthetic panel data for the United Kingdom, we find that for high-educated individuals the Euler equation restrictions are not rejected, the elasticity of intertemporal substitution is higher than one, and there is evidence of excess smoothness of consumption. Low-educated individuals, conversely, exhibit excess sensitivity of consumption to past income, and the elasticity of intertemporal substitution is not statistically different from zero.