The age-time-cohort problem and the identification of structural parameters in life-cylce models

Sam Schulhofer-Wohl

No 707, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: The standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the ?age profile? of outcomes, then chooses model parameters so that the model?s age profile matches this empirical age profile. I show that the standard approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I illustrate the method?s benefits analytically in a simple model of consumption inequality and numerically by reestimating the classic life-cycle consumption model of Gourinchas and Parker (2002).

Keywords: Demography (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-dem and nep-dge
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The age‐time‐cohort problem and the identification of structural parameters in life‐cycle models (2018)
Working Paper: The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models (2017)
Working Paper: The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models (2012)
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