Estimating intertemporal elasticity of substitution: the case of log- linear restrictions

Ching-Sheng Mao

Economic Review, 1989, vol. 76, issue Nov, 3-14

Abstract: Are linear regression models reliable in testing whether high expected real interest rates encourage current savings and deferred consumption? Here, a Monte Carlo test shows that a linear model yields a fairly accurate estimate and small standard error, but is highly susceptible to specification bias.

Keywords: Interest rates; Consumption (Economics) (search for similar items in EconPapers)
Date: 1989
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