How Risky Is Consumption in the Long-Run? Benchmark Estimates from a Robust Estimator
研究了消费增长长期标准差的新估计量，发现标准估计量有偏且置信区间差，新估计量更准确，但长期风险模型仍被数据拒绝，战后样本的长期标准差估计为每年2.5%。
The long-run standard deviation (LRSD) of consumption growth is a key moment in determining risk premiums under Epstein-Zin preferences. Standard estimators of the LRSD are biased downward and have poor confidence interval coverage, making them overreject the long-run risk model. This paper studies a new estimator with smaller bias and accurate confidence intervals. Standard long-run risk calibrations are still rejected in the data. The LRSD of consumption growth in the postwar sample is estimated to be 2.5% per year with an upper bound to the 95% confidence interval of 4.9%. These values can be taken as benchmarks for future calibrations. Received October 29, 2014; accepted February 18, 2016 by Editor Leonid Kogan.