A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving

Joon Y. Park, Kwanho Shin, Yoon Jae Whang

Research output: Contribution to journalArticle

5 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)165-178
Number of pages14
JournalJournal of Econometrics
Volume157
Issue number1
DOIs
Publication statusPublished - 2010 Jul

Keywords

  • Age distributions
  • Cointegration
  • Consumption and savings rate
  • Semiparametric regression
  • Series estimation

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving'. Together they form a unique fingerprint.

  • Cite this