A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty / Martin S. Eichenbaum, Lars Peter Hansen, Kenneth J. Singleton.
Material type:
TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w1981.Publication details: Cambridge, Mass. National Bureau of Economic Research 1986.Description: 1 online resource: illustrations (black and white)Online resources: Available additional physical forms:- Hardcopy version available to institutional subscribers
| Item type | Home library | Collection | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|
| Working Paper | Biblioteca Digital | Colección NBER | nber w1981 (Browse shelf(Opens below)) | Not For Loan |
July 1986.
This paper investigates empirically a model of aggregate consumption and
leisure decisions in which goods and leisure provide services over time. The
implied time non-separability of preferences introduces an endogenous source of
dynamics which affects both the co-movements in aggregate compensation and hours
worked and the cross-relations between prices and quantities. These cross-relations
are examined empirically using post-war monthly U.S. data on quantities,
real wages and the real return on the one-month Treasury bill. We find
substantial evidence against the overidentifying restrictions. The test results
suggest that the orthogonality conditions associated with the representative
consumer's intratemporal Euler equation underlie the failure of the model.
Additionally, the estimated values of key parameters differ significantly from
the values assumed in several studies of real business models. Several possible
reasons for these discrepancies are discussed.
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