Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation
提出一种新的结构估计方法（合成残差估计），用于处理跨期分配模型中的测量误差和参数异质性，在短面板和噪声消费数据下优于广义矩估计，并应用于PSID数据发现贴现因子和跨期替代弹性存在异质性。
We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectations errors directly; we refer to it as synthetic residual estimation (SRE). The flexibility of SRE allows us to account for measurement error in consumption and for heterogeneity in intertemporal allocation parameters. An investigation of the small sample properties of the SRE estimator indicates that it dominates generalized method of moments (GMM) estimation of both exact and approximate Euler equations in the case when we have short panels and noisy consumption data. We apply SRE to two panels drawn from the Panel Study of Income Dynamics (PSID) and estimate the joint distribution of the discount factor and the elasticity of intertemporal substitution. We reject strongly homogeneity of the discount factor and the elasticity of intertemporal substitution. We find that, on average, the more educated are more patient and less willing to substitute intertemporally than the less educated. Within education strata, patience and willingness to substitute are positively correlated.