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

Joon Y. Park; Kwanho Shin; Yoon Jae Whang

doi:10.1016/j.jeconom.2009.10.032

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

Joon Y. Park, Kwanho Shin, Yoon Jae Whang

Department of Economics

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	165-178
Number of pages	14
Journal	Journal of Econometrics
Volume	157
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2009.10.032
Publication status	Published - 2010 Jul

Keywords

Age distributions
Cointegration
Consumption and savings rate
Semiparametric regression
Series estimation

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/j.jeconom.2009.10.032

Cite this

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abstract = "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.",

keywords = "Age distributions, Cointegration, Consumption and savings rate, Semiparametric regression, Series estimation",

author = "Park, {Joon Y.} and Kwanho Shin and Whang, {Yoon Jae}",

note = "Funding Information: We are grateful to a Guest Editor and two anonymous referees for many useful comments. We also like to thank Yoosoon Chang, Oliver Linton and Akiko Tamura for helpful discussions and comments, and Qi Li and Kwan Koo Yun for their patience, encouragement and support. This research is supported financially by a Hosei University Research Grant, which we gratefully acknowledge. ",

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AU - Shin, Kwanho

AU - Whang, Yoon Jae

N1 - Funding Information: We are grateful to a Guest Editor and two anonymous referees for many useful comments. We also like to thank Yoosoon Chang, Oliver Linton and Akiko Tamura for helpful discussions and comments, and Qi Li and Kwan Koo Yun for their patience, encouragement and support. This research is supported financially by a Hosei University Research Grant, which we gratefully acknowledge.

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N2 - 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.

AB - 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.

KW - Age distributions

KW - Cointegration

KW - Consumption and savings rate

KW - Semiparametric regression

KW - Series estimation

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DO - 10.1016/j.jeconom.2009.10.032

M3 - Article

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SP - 165

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JO - Journal of Econometrics

JF - Journal of Econometrics

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

Abstract

Keywords

ASJC Scopus subject areas

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