The Interaction Between Time-Nonseparable Preferences and Time Aggregation

DOI10.2307/2951555MaRDI QIDQ5286048zbMATH OpenOpenAlexFDO

Authors John C. Heaton

Publication date 29 June 1993

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1721.1/48129

zbMATH Keywords

continuous-time, linear-quadratic, representative consumernon-separable preferencespermanent income hypothesistime aggregationtime nonseparabilitiestime-nonseparable preferences

Mathematics Subject Classification ID

Individual preferences (91B08) Consumer behavior, demand theory (91B42)

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(29)

• Nonparametric estimation of structural models for high-frequency currency market data
• Asset and commodity prices with multi-attribute durable goods
• Non-addictive habits: optimal consumption-portfolio policies.
• Consumption and saving with habit formation and durability.
• Optimal consumption of a divisible durable good
• Effect of time preferences on indexation
• Non-market reopening, time-consistent plans and the structure of intertemporal preferences
• Endogenous time preference, investment externalities, and equilibrium indeterminacy
• Market efficiency, asset returns, and the size of the risk premium in global equity markets.
• The transition to a new inflation rate in models with habit formation
• Additive habit formation: consumption in incomplete markets with random endowments
• In search of lost time aggregation
• A power law type of time preference on intertemporal choices
• Macroeconomic effects of inflationary shocks with durable and non-durable consumption
• Testing for intertemporal nonseparability
• Separability, aggregation, and Euler equation estimation.
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Savings, investment, employment, and inflation in a small open economy with habit persistence
• Optimal Consumption‐Portfolio Policies With Habit Formation¹
• COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
• GARP, SEPARABILITY, AND THE REPRESENTATIVE AGENT
• A time series analysis of representative agent models of consumption and leisure choice under uncertainty
• ON SUNSPOTS, HABITS, AND MONETARY FACTS
• Habit formation in a monetary growth model
• Optimal consumption and portfolio rules with durability and habit formation
• Money, habits and growth
• Durability in consumption and the dynamics of the current account
• The effects of inflation in a small open economy with durability in consumption

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