The Euler Equation with Habits and Measurement Errors: Estimates on Russian Micro Data
Irina Khvostova Author-Email: Ikhvostova@hse.ru and
Anna Novak ()
Additional contact information
Irina Khvostova Author-Email: Ikhvostova@hse.ru: National Research University, Higher School of Economics, Russia Author-Name: Alexander Larin Author-Email: firstname.lastname@example.org
Panoeconomicus, 2016, vol. 63, issue 4, 395-409
This paper presents estimates of the consumption Euler equation for Russia. The estimation is based on micro-level panel data and accounts for the heterogeneity of agents’ preferences and measurement errors. The pres- ence of multiplicative habits is checked using the Lagrange multiplier (LM) test in a generalized method of moments (GMM) framework. We obtain estimates of the elasticity of intertemporal substitution and of the subjective discount factor, which are consistent with the theoretical model and can be used for the calibration and the Bayesian estimation of dynamic stochastic general equilibri- um (DSGE) models for the Russian economy. We also show that the effects of habit formation are not significant. The hypotheses of multiplicative habits (external, internal, and both external and internal) are not supported by the data.
Keywords: Household consumption; Euler equation; Habit formation; Elastici- ty of intertemporal substitution; RLMS-HSE. (search for similar items in EconPapers)
JEL-codes: C23 E21 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://www.panoeconomicus.rs/casopis/2016_4/01%20I ... d%20Anna%20Novak.pdf
Working Paper: Euler equation with habits and measurement errors: estimates on Russian micro data (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:voj:journl:v:63:y:2016:i:4:p:395-409
Access Statistics for this article
Panoeconomicus is currently edited by Kosta Josifidis
More articles in Panoeconomicus from Savez ekonomista Vojvodine, Novi Sad, Serbia
Bibliographic data for series maintained by Ivana Horvat ( this e-mail address is bad, please contact ).