The age-time-cohort problem and the identification of structural parameters in life-cycle models

Artikel

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).

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 9 ; Year: 2018 ; Issue: 2 ; Pages: 643-658 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡
• Subject: Age-time-cohort identification problem ; life-cycle models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schulhofer-Wohl, Sam
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2018

Further information

• DOI: doi:10.3982/QE738
• Handle: http://hdl.handle.net/10419/217111
• Last update: 10.03.2025, 11:43 AM CET