論文

This paper introduces the concept of cotrending to trend stationary series with structural breaks. We apply it to nominal interest rates and inflation in order to test the long-run Fisher effect. © 1993.

This paper constructs a consistent test for the null of stationarity against the alternative of a unit root, utilizing the regression properties investigated by Kahn and Ogaki (1990). © 1992.

This note presents an algorithm for calculating an efficiency bound among a class of estimators for a continous time financial economics model and a martingale taxation model. © 1991.

The present paper develops a chi-square test for a unit root that has higher power than Dickey-Fuller tests when the sample size is small and the autoregressive root is close to one. © 1990.

In this paper, we study long-run comovements of real exchange rates and relative prices of nontradables and tradables. This approach is complementary to many existing approaches to investigating real exchange rate movements. In many theoretical models of exchange rate determination, the relative prices of nontradables and tradables are linked to the real exchange rates by identities. However, they do not necessarily move with real exchange rates in reality because of many factors. For example, many tradables contain nontradable components in the form of retailing services, so that Purchasing Power Parity (PPP) may not hold for these tradable goods even in the long run. Hence real exchange rates may not move in the direction predicted by theoretical models when the producers of these tradable goods experience changes in productivity. In this paper, we identify time periods, countries and relative price measures for which comovements between real exchange rates and relative prices of nontradables and tradables are observed.

In estimating the intertemporal elasticity of substitution, Hall finds that, when one takes account of time aggregation, point estimates are small and not significantly different from zero. He concludes that the elasticity is unlikely to be much above 0.1 and may well be zero. Applying improved inference methods to an economic model similar to Hall's, Hansen and Singleton show that there is considerably less precision in the estimation. We argue that the model used by these authors is misspecified because the intratemporal substitution between nondurable consumption goods and durable consumption goods is ignored. We use a two-step procedure that combines a cointegration approach to preference parameter estimation with generalized method of moments to take these effects into account. Our estimates for the intertemporal elasticity.

In this paper, we use long-run annual data to estimate the intertemporal elasticity of substitution while accounting for the intra-temporal substitution between nondurable consumption goods and durable consumption goods. We apply a two-step procedure that combines a cointegration approach to preference parameter estimation with Generalized Method of Moments.

This note provides an example in which a cointegrated time series does not have an error correction representation. In this example, the Granger Representation Theorem fails to hold because one of the conditions for the theorem is violated. Economists need to be careful about this possibility because a simple model of the uncovered interest parity and purchasing power parity conditions leads to this case in which the theorem fails.

In this paper, we estimate the (long-run) intertemporal elasticity of substitution of non-durable consumption, which has often been estimated with the generalized methods of moments (GMM). The GMM estimator, however, is not consistent in the presence of liquidity constraints, aggregation over heterogeneous consumers, unknown preference shocks, or a general form of time-nonseparability. We use Engle and Granger's cointegration methodology in order to develop an estimator which is consistent even in the presence of these factors. We then form a formal test that compares the estimates obtained using cointegration techniques with those obtained using GMM. © 1997 Elsevier Science S.A.

This paper examines the long-run relationship of consumption and income in the United States. It was shown by King et al. (1991) in a version of the permanent income hypothesis that log levels of consumption and income are cointegrated with a known cointegrating vector (1,-1)′. This implies a restriction that the cointegrating vector, which eliminates the stochastic trends, also eliminates the deterministic trends arising from the drift terms of difference stationary variables. Two different methodologies are used to test this deterministic cointegration restriction in this study. The first methodology is the canonical cointegrating regression proposed by Park (1992). The second methodology is testing stationarity of the difference of log consumption and log income, by assuming the cointegrating vector to be (1,-1)′. Two test statistics for the null hypothesis of stationarity are employed. One is the G(p,q) test proposed by Park and Choi (1988) and the other is proposed by Kwiatkowski et al. (1992). The results of the study indicate that the deterministic cointegration restriction cannot be rejected. JEL: E21, C32 © 1997 JAI Press Inc.

The rate of time preference (RTP) and the intertemporal elasticity of substitution (IES) are two important factors shaping intertemporal consumption decisions. Models in which the RTP and/or the IES differ systematically between rich and poor households have different empirical and policy implications for economic development, growth, and the distribution of income and consumption from those of standard models in which these parameters are constant across households. In this paper, we estimate a model in which both RTP and IES are allowed to differ across rich and poor households using household-level panel data from India. Our empirical results are consistent with the view that the RTP is constant across poor and rich households, but the IES is larger for the rich than it is for the poor.