Testing for Intertemporal Nonseparability

Ian Crawford, Matthew Polisson

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    Abstract

    This paper presents a nonparametric analysis of a common class of intertemporal models of consumer choice that relax consumption independence. Within this class and in the absence of any functional form restrictions on instantaneous preferences, we compare the revealed preference conditions for rational habit formation and rational anticipation. We show that these models are observationally equivalent in the presence of finite data sets composed of prices, interest rates, and consumption choices.
    Original languageEnglish
    Pages (from-to)46-49
    JournalJournal of Mathematical Economics
    Volume52
    Early online date27 Mar 2014
    DOIs
    Publication statusPublished - May 2014

    Keywords

    • Anticipation
    • Habits
    • Revealed preference
    • Time separability

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