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

Joon Park, Kwanho Shin and Yoon-Jae Whang

Journal of Econometrics, 2010, vol. 157, issue 1, 165-178

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.

Keywords: Cointegration; Semiparametric; regression; Series; estimation; Age; distributions; Consumption; and; savings; rate (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:1:p:165-178

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