A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving |
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Authors: | Joon Y Park Kwanho Shin Yoon-Jae Whang |
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Institution: | 1. Department of Economics, Indiana University, United States;2. School of Economics, Sungkyunkwan University, Republic of Korea;3. Department of Economics, Korea University, Republic of Korea;4. Department of Economics, Seoul National University, Republic of Korea |
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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. |
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Keywords: | C22 |
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