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Estimation of incomplete markets models with panel data

其他書名	a dissertation ...
出版	M. Mrkaić, 1998
URL	http://books.google.com.hk/books?id=5KFhNAAACAAJ&hl=&source=gbs_api

註釋A consumption-savings model with heterogenous agents who face uninsurable income shocks and smooth their consumption by trading only in a short term bond is estimated by using panel data. To obtain consistent estimates of the structural parameters in the presence of aggregate shocks the model is solved and parameters estimated by comparing observed and predicted consumption choices. Perturbative expansions are used to solve the model instead of numerical dynamic programming in order to reduce the high computational cost of computing decision rules. Results show that data support the model, that borrowing constraints are not statistically significant, that estimation methodology that ignores aggregate shocks in panel data studies leads to inconsistent estimates and that the model is not incompatible with a complete markets model. Perturbative expansions turn out to be a precise and fast method for solving dynamic continuous choice models.