Expectations and Intertemporal Separability in an Empirical Model of Consumption and Investment under Uncertainty

Philippe Deschamps

Empirical Economics, 1992, vol. 17, issue 3, 419-50

Abstract: An intertemporal model of consumption and investment under uncertainty is formulated, and compared with the existing literature; it is argued that an assumption of myopia is necessary for its empirical applicability. It is estimated by maximum likelihood with quarterly British data. A specification search for a satisfactory form of expectations is made, and the estimated model is compared with a static demand system. Strong intertemporal separability is formulated as a nested hypothesis, and strongly rejected by a likelihood ratio test.

Date: 1992
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Related works:
Working Paper: EXPECTATIONS AND INTERTEMPORAL SEPARABILITY IN AN EMPIRICAL MODEL OF CONSUMPTION AND INVESTMENT UNDER UNCERTAINTY (1990)
Working Paper: Expectations and intertemporal separability in an empirical model of consumption and investment under uncertainty (1990)
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