SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
15 references·16 citing·43 second hop
Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data (1990)Estimating Models with Intertemporal Subs…Consumer Demand in the United States (2009)Consumer Demand in the United…Time-to-Build and Aggregate Fluctuations (1998)Time-to-Build and Aggregate F…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Hall's consumption hypothesis and durable goods (1982)Hall's consumption hypothesis…The Adjustment of Consumption to Changing Expectations About Future Income (1981)The Adjustment of Consumption…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Rational Expectations, Econometric Exogeneity, and Consumption (1978)Rational Expectations, Econom…Habit Formation and Dynamic Demand Functions (1970)Habit Formation and Dynamic D…A New Approach to Consumer Theory (1966)A New Approach to Consumer Th…Community Preference Fields (1953)Community Preference FieldsBusiness Cycles and Aggregate Labor Market Fluctuations (2020)Business Cycles and Aggregate…How much does household collateral constrain regional risk sharing? (2009)How much does household colla…Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods (2009)Estimating Intertemporal and …External Habit and the Cyclicality of Expected Stock Returns (2005)External Habit and the Cyclic…Intertemporal non-separability and “rule of thumb” consumption (2002)Intertemporal non-separabilit…Intertemporal substitution and durable goods: long-run data (1998)Intertemporal substitution an…International business cycles, financial markets and household production (1998)International business cycles…Relative prices, complementarities and comovement among components of aggregate expenditures (1997)Relative prices, complementar…Seasonality and equilibrium business cycle theories (1995)Seasonality and equilibrium b…Time nonseparability in aggregate consumption (1993)Time nonseparability in aggre…The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)The Interaction Between Time-…Optimal Consumption and Portfolio Rules with Durability and Local Substitution (1993)Optimal Consumption and Portf…International asset pricing with alternative distributional specifications (1993)International asset pricing w…Test of C-CAPM for Japan: 1980–1988 (1992)Test of C-CAPM for Japan: 198…Seasonality and Consumption-Based Asset Pricing (1992)Seasonality and Consumption-B…An Evaluation of Recent Evidence on Stock Market Bubbles (1986)An Evaluation of Recent Evide…A Theory of the Consumption Function (1958)THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS (1963)No news is good news (1992)Capital markets research in accounting (2001)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Linear Expenditure Systems and Demand Analysis: An Application to the Pattern of British Demand (1954)Education and Nonmarket Outcomes (2005)Life cycle happiness and its sources (2006)Some Uses of Happiness Data in Economics (2006)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Asset Pricing with Stochastic Differential Utility (1992)Chapter 8 Micro data and general equilibrium models (1999)Exact Consumer's Surplus and Deadweight Loss (2008)Hedonic housing prices and the demand for clean air (1978)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Conducting Discrete Choice Experiments to Inform Healthcare Decision Making (2008)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1966A New Approach to Consumer Theory8,466 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1981The Adjustment of Consumption to Changing Expectations About Future Income1,326 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1970Habit Formation and Dynamic Demand Functions827 cited
  • 1953Community Preference Fields734 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited
  • 2009Consumer Demand in the United States302 cited
  • 1982Hall's consumption hypothesis and durable goods296 cited
  • 1978Rational Expectations, Econometric Exogeneity, and Consumption199 cited
  • 1998Time-to-Build and Aggregate Fluctuations

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

89 cited

Cited by

  • 1993The Interaction Between Time-Nonseparable Preferences and Time Aggregation228 cited
  • 1992Seasonality and Consumption-Based Asset Pricing145 cited
  • 1993International asset pricing with alternative distributional specifications132 cited
  • 2009How much does household collateral constrain regional risk sharing?103 cited
  • 1993Optimal Consumption and Portfolio Rules with Durability and Local Substitution99 cited
  • 1986An Evaluation of Recent Evidence on Stock Market Bubbles85 cited
  • 2020Business Cycles and Aggregate Labor Market Fluctuations84 cited
  • 1993Time nonseparability in aggregate consumption84 cited
  • 1997Relative prices, complementarities and comovement among components of aggregate expenditures72 cited
  • 2009Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods60 cited
  • 1998International business cycles, financial markets and household production47 cited
  • 2002Intertemporal non-separability and “rule of thumb” consumption44 cited
  • 1995Seasonality and equilibrium business cycle theories42 cited
  • 1992Test of C-CAPM for Japan: 1980–198842 cited
  • 2005External Habit and the Cyclicality of Expected Stock Returns41 cited
  • 1998Intertemporal substitution and durable goods: long-run data40 cited