Consumption Imputation Errors in Administrative Data

• 成果类型: Article
• 署名作者: Baker, Scott R.; Kueng, Lorenz; Meyer, Steffen; Pagel, Michaela
• 署名单位: Northwestern University; National Bureau of Economic Research; Universita della Svizzera Italiana; Centre for Economic Policy Research - UK; University of Southern Denmark; Danish Finance Institute; Columbia University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab087
• 发表日期: 2022
• 页码: 3021
• 关键词: household; income; RISK; GENDER; WEALTH

摘要

Many research papers in household finance utilize annual snapshots of household wealth from administrative data, such as tax registries, to calculate imputed consumption. However, trading costs, unobserved intrayear trades, or unobserved security characteristics may cause measurement error. We document how such errors vary across groups of individuals by income, portfolio characteristics, and wealth and how they are correlated with individual income and balance sheets, asset prices, and the business cycle using transaction-level retail brokerage account data. We find that the economic significance of imputation error is small in many research settings, and we discuss robustness checks and econometric specifications to minimize the impact of imputation error in future research.