Jacobs, Kris: Estimating Nonseparable Preference Specifications for Asset Market Participants
World Conference Econometric Society, 2000, Seattle

Kris Jacobs, McGill University
Estimating Nonseparable Preference Specifications for Asset Market Participants
Session: C-1-4  Friday 11 August 2000  by Jacobs, Kris
This paper uses panel data to estimate preference specifications that are nonseparable in consumption and leisure. Because the econometric analysis uses panel data, it differs from existing econometric studies that use a representative agent framework. Because the paper focuses on the nonlinear implications of the theory, it is different from most existing panel data studies that investigate linearizations. The evidence shows that we only obtain intuitively plausible estimates when using samples that contain households who own riskless and risky assets. For those samples, estimated parameter values are radically different from existing studies. The findings are therefore of interest to an extensive literature in macroeconomics and finance.
Submitted paper full-text in .pdf


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