Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217111
Authors: 
Schulhofer-Wohl, Sam
Year of Publication: 
2018
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 9 [Year:] 2018 [Issue:] 2 [Pages:] 643-658
Abstract: 
A standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the 'age profile' of outcomes, then chooses model parameters so that the model's age profile matches this empirical age profile. I show that this approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I illustrate the method's benefits analytically in a simple model of consumption inequality and numerically by reestimating the classic life-cycle consumption model of Gourinchas and Parker (2002).
Subjects: 
Age-time-cohort identification problem
life-cycle models
JEL: 
C23
D91
J1
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/4.0/
Document Type: 
Article

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