TY  - BOOK
AU  - Attanasio,Orazio
AU  - Borella,Margherita
ED  - National Bureau of Economic Research.
TI  - Stochastic Components of Individual Consumption: A Time Series Analysis of Grouped Data  
T2  - NBER working paper series
PY  - 2006///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 2006; Hardcopy version available to institutional subscribers
N2  - In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate shocks. Having estimated the parameters of a flexible multivariate MA representation we relate the coefficients of our statistical model to structural parameters of theoretical models of consumption behaviour. Our approach offers a unifying framework that encompasses the Euler equation approach to the study of consumption and the studies that relate innovations to income to innovations to consumption, such as those that have found the so-called excess smoothness of consumption. Using a long time series of cross sections to construct synthetic panel data for the UK, we estimate our model and find that the restriction of Euler equations are typically not rejected, while the data show 'excess smoothness'
UR  - https://www.nber.org/papers/w12456
UR  - http://dx.doi.org/10.3386/w12456
ER  -