Testing for intertemporal nonseparability |
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| Institution: | 1. Department of Economics, University of Oxford, Manor Road, Oxford, OX1 3UQ, United Kingdom;2. Institute for Fiscal Studies, 7 Ridgmount Street, London, WC1E 7AE, United Kingdom;3. Department of Economics, University of Leicester, University Road, Leicester, LE1 7RH, United Kingdom;1. Halle Institute for Economic Research (IWH), Germany;2. Friedrich Schiller University Jena, Germany;3. Department of Economics, The Johns Hopkins University, Baltimore, MD 21218, United States;1. International Business School Suzhou, Xi’an Jiaotong-Liverpool University, Jiangsu 215123, China;2. Department of Economics, Ryerson University, Toronto, Ontario M5B 2K3, Canada;1. Department of Economics and Management, Université de Cergy-Pontoise & THEMA,Cergy-Pontoise, 95011, France;2. Department of Economics, University of Georgia, Athens, GA, 30602, USA |
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| Abstract: | This paper presents a nonparametric analysis of a common class of intertemporal models of consumer choice that relax consumption independence. Within this class and in the absence of any functional form restrictions on instantaneous preferences, we compare the revealed preference conditions for rational habit formation and rational anticipation. We show that these models are observationally equivalent in the presence of finite data sets composed of prices, interest rates, and consumption choices. |
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| Keywords: | Anticipation Habits Revealed preference Time separability |
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