生命周期内收入不确定性的半参数表征

J. Feigenbaum, Geng Li
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引用次数: 5

摘要

我们提出了一种新的方法来估计未来不同时期的家庭收入不确定性,并描述了估计的不确定性在生命周期中的演变。我们衡量收入不确定性为线性预测误差的方差,条件是在观察实际收入之前家庭可获得的信息。这种方法是半参数的,因为我们基本上没有对预测误差的统计性质施加限制。与之前的研究相比,我们发现收入不确定性较低且持续时间较短,这要求生命周期消费曲线具有不太明显的驼峰。
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A Semiparametric Characterization of Income Uncertainty over the Lifecycle
We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast errors conditional on information available to households prior to observing the realized income. This approach is semiparametric because we impose essentially no restrictions on the statistical properties of the forecast errors. Relative to previous studies, we find lower and less persistent income uncertainties that call for a life cycle consumption profile with a less pronounced hump.
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