Revisiting habits and heterogeneity in demands

Arbeitspapier

We conduct a narrow replication of Browning and Collado (Journal of Applied Econometrics 2007; 22(3): 625-640). They estimate a linear panel AR(1) version of an Engel curve for six consumption composites using iterated GMM. We find that the coefficient estimates and standard errors differ from the reported results when we use their instrument set; in particular, we find habit formation in non-durable services and no state dependence in small durables. Despite finding evidence for weak instruments, our results support most of the claims made in the original paper and are also unable to detect intertemporal dependence strong enough to resolve existing macro puzzles.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Passauer Diskussionspapiere - Volkswirtschaftliche Reihe ; No. V-78-19

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation ; Consumer Economics: Empirical Analysis
• Subject: habit formation ; linear dynamic panel data methods ; weak instruments

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fritsch, Markus ; Pua, Andrew Adrian Yu ; Schnurbus, Joachim
• Event: Veröffentlichung
• (who): Universität Passau, Wirtschaftswissenschaftliche Fakultät
• (where): Passau
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/204574
• Last update: 10.03.2025, 11:42 AM CET