A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving
半参数协整回归:年龄分布对消费与储蓄的影响
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…