A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

DOI10.2307/1882642zbMath1254.91343OpenAlexW3125068246MaRDI QIDQ4900146

Kenneth J. Singleton, Lars Peter Hansen, Martin S. Eichenbaum

Publication date: 13 January 2013

Published in: The Quarterly Journal of Economics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w1981.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42)

Related Items

Nonconvexities, labor hoarding, technology shocks, and procyclical productivity. A structural econometric analysis, Nonparametric estimation of structural models for high-frequency currency market data, A generalized variance bounds test with an application to the Holt et al. inventory model, Measuring business cycles with business-cycle models, Reconciling the term structure of interest rates with the consumption-based ICAP model, Existence and local uniqueness of functional rational expectations equilibria in dynamic economic models, Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator, THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS, Tests of additional conditional moment restrictions, ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS, Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity, Improving consistent moment selection procedures for generalized method of moments estimation, A separability result for gmm estimation, with applications to gls prediction and conditional moment tests, OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY, Fiscal shocks and their consequences., Statistical inference in dynamic panel data models, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, Simple foreign exchange market efficiency revisited, Select the valid and relevant moments: an information-based Lasso for GMM with many moments, What do interest rates reveal about the functioning of real business cycle models ?, Optimal consumption and portfolio rules with durability and habit formation, Seasonality and equilibrium business cycle theories, Simple foreign exchange market efficiency revisited, The economic effects of immigration -- a dynamic analysis, Price uncertainty and consumer welfare in an intertemporal setting, Durability in consumption and the dynamics of the current account, Testing for weak identification in possibly nonlinear models, Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, The effects of inflation in a small open economy with durability in consumption, Monetary policy in a small open economy with durable goods and differing cash-in-advance constraints, Calibration as estimation, On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference, A cointegration approach to estimating preference parameters, Demographics and the natural real interest rate: historical and projected paths for the Euro Area, ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION, What do `residuals' from first-order conditions reveal about DGE models?, Optimal hedging under output price uncertainty, On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis, International risk sharing in overlapping generations models, Testing overidentifying restrictions with a restricted parameter space, Consumption--leisure choice with habit formation, Shrinkage Empirical Likelihood Estimator in Longitudinal Analysis with Time‐Dependent Covariates—Application to Modeling the Health of Filipino Children, Efficient Estimation with Many Weak Instruments Using Regularization Techniques, On the relevance of weaker instruments, Rational expectations in the overlapping generations model, Are consumption-based intertemporal capital asset pricing models structural?