Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors
利用收入动态面板研究数据，构建包含习惯形成和测量误差的消费模型，通过非线性广义矩估计发现习惯形成显著影响家庭食品消费模式，并给出了跨期替代弹性和相对风险厌恶的置信区间。
This article investigates the presence of habit formation in household consumption, using data from the Panel Study of Income Dynamics. We develop an econometric model of internal habit formation of the multiplicative specification. The restrictions of the model allow for classical measurement errors in consumption without parametric assumptions on the distribution of measurement errors. We estimate the parameters by nonlinear generalized method of moments and find that habit formation is an important determinant of household food-consumption patterns. Using the parameter estimates, we develop bounds for the expectation of the implied heterogenous intertemporal elasticity of substitution and relative risk aversion that account for measurement errors, and compute confidence intervals for these bounds. Supplementary materials for this article are available online.