A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving

作者：Park Joon Y^*; Shin Kwanho; Whang Yoon Jae

来源：Journal of Econometrics, 2010, 157(1): 165-178.

DOI：10.1016/j.jeconom.2009.10.032

• Cointegration
• Semiparametric regression
• Series estimation
• Age distributions
• Consumption and savings rate

We consider a semiparametric cointegrating regression model, for which the disequilibrium error is further explained nonparametrically by a functional of distributions changing over time. The paper develops the statistical theories of the model. We propose an efficient econometric estimator and obtain its asymptotic distribution. A specification test for the model is also investigated. The model and methodology are applied to analyze how an aging population in the US influences the consumption level and the savings rate. We find that the impact of age distribution on the consumption level and the savings rate is consistent with the life-cycle hypothesis.

• 出版日期2010-7