Ricerche Economiche最新文献

Exact aggregation in income and household characteristics are tested using Canadian cross-sectional microdata. Over 100 data sets of homogeneous households are used, making it possible to conduct a large number of independent hypothesis tests. Tests are also conducted to determine whether the homogeneous household groups can be grouped into more heterogeneous data sets. Six different kinds of demand systems are estimated to ensure the robustness of the results to separability/aggregation structure.

Exact aggregation in income, family size, region of residence and housing tenure status are strongly rejected, but exact aggregation in age of head of household is not. Restrictions which would allow pooling of households of different sizes, regions and tenure status are also strongly rejected. The test results exhibit a little sensitivity to the expenditure aggregates used, but not to the extent that the results would be different.

The results imply that aggregate demand functions which use time series data should include many statistics from the joint distribution of income and household characteristics. In addition, when using data at the micro-level, the amount of heterogeneity in households' behaviour is much greater than usually assumed. This calls for the use of much more homogeneous household groups in the estimation of demand models than are typically employed.

This paper uses data from the Consumer Expenditure Survey (CEX) to estimate age profiles for financial asset accumulation. While the CEX is not designed to estimate financial wealth, it has the advantage of being available on a consistent basis since 1980.

As the data set is not a panel, synthetic cohort techniques are used to analyse the dynamics of asset accumulation over the life cycle, while allowing for cohort and business cycle effects. It is shown that it is not possible to separately identify cohort and age effects in the level of financial assets. However, with the specification proposed, it is possible to identify all the parameters (except the intercept) of the age profile for the changes in financial assets.

Several measures of location are analysed, and several conditioning variables considered. The results seem to indicate a decline in the rate of financial asset accumulation in the last part of the life cycle. However, because the scale of this effect is not identified, these results cannot be used to address the issue of asset decumulation by the elderly.

A variety of cross-sectional and temporal aggregation cases are considered. It is shown that if cointegration is found at an aggregate level then, strictly, many surprising constraints are implied at the micro level. However, a suitable approximation is suggested using common factors. It is shown that series may not be cointegrated at the time period of generation, but that after temporal aggregation cointegration could occur. This possibility arises because temporal aggregation can move a nuit root at a seasonal frequency to the zero frequency. Finally, the possibility of aggregating income distributions is considered and it is shown that, strictly, the Pareto distribution does not have the required property.

The availability of household-level data covering long periods of time makes it relatively easy to assess likely sources of aggregation bias. In this paper, we illustrate a promising methodology, which requires computing aggregation factors across households. If these factors are stable over time, aggregate data can be used to estimate micro-parameters.

Our application covers consumer demand equations, and dynamic consumption relations, but the methodology could be applied in a variety of different contexts.

This paper builds on recent work dealing with the measurement of the long-run response of output to different types of shocks at a multisectoral level. The paper re-examines the issues that surround the identification of shocks to particular sectors in a multisectoral model, and proposes “persistence profiles” of shocks as a method of carrying out impulse response analysis in multivariate systems. It is shown that, unlike the impulse response analysis familiar in the literature, the proposed “persistence profiles” are robust to the alternative parameterization of the underlying moving average representation. The analysis is applied to a simple multisectoral model of U.K. output growths, disaggregated by eight industrial sectors.

This paper explores the conditions under which cointegration at the micro level implies cointegration at the macro level and vice versa. The aggregation conditions considered in this paper are in terms of common factors assumptions rather than the representative agent assumption, thereby allowing for a certain kind of heterogeneity among agents.