Quantile approach to intertemporal consumption with multiple assets
多资产跨期消费的分位数方法AI 解读 ↓
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分类依据与纠错
AI 根据所提供的论文材料归类：摘要明确构建消费偏好结构模型并识别估计其参数，分位数偏好本身不等同于分布效应研究。
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多资产跨期消费的分位数方法
- 研究问题
- 如何在多资产跨期消费模型中，分别识别并估计风险态度、跨期替代弹性与贴现因子，避免这些偏好参数相互混淆？
- 方法与思路
- 作者以动态分位数偏好建立消费模型，推导分位数 Euler 方程，并提出半参数两步估计及用于推断的子抽样程序。
- 材料陈述的贡献
- 摘要称，至少两个收益率可支持偏好参数分别识别；两步估计量一致、具有立方根收敛率，并给出其极限分布。
- 阅读关注点
- 核对两类收益率足以识别的其他条件、分位数风险态度的解释、两步估计误差传递，以及子抽样的实施要求。
- 阅读边界
- 仅据所给 RePEc 出版社摘要，不能判断完整识别条件、样本与参数不确定性；所述经验结论不代表普遍规律，也不推断刊本变化。
原文摘要
This paper develops a novel economic model and econometric methods to jointly identify and estimate parameters related to intertemporal preference and risk attitude. We begin by formulating an intertemporal consumption model with multiple assets based on dynamic quantile preferences that account for elasticity of intertemporal substitution, risk attitude, and discount factor. We establish the properties of the model and obtain interesting explicit expressions for the value function, and the optimal consumption. In addition, we derive the quantile Euler equation. From this equilibrium condition, we show that, when at least two returns are available, one is able to separately identify the risk attitude, which is measured by the quantile τ, and the elasticity of intertemporal substitution and discount factor. We propose new econometric theory for estimating these parameters of interest and establish the statistical properties of the semiparametric two-step estimator. In particular, we show that the estimator is consistent, with a cubic-root rate of convergence, derive its limiting distribution, and suggest a subsampling procedure for inference. Finally, we empirically estimate the structural model, and results show evidence that discount factor is slightly smaller than one, the elasticity of intertemporal substitution is larger than one, and risk attitude is close to the median.