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An alternative estimation method for the OCE model

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  • Yoshiko Kuwahara
  • Yasushi Ohkusa

Abstract

We provide an alternative estimation method which can be used to estimate the coefficient of intertemporal substitution and risk aversion separately, without assuming log-normal distribution or using a social market portfolio. We find the two parameters are significantly positive. This finding is the first case in this field.

Suggested Citation

  • Yoshiko Kuwahara & Yasushi Ohkusa, 1996. "An alternative estimation method for the OCE model," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 501-503.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:8:p:501-503
    DOI: 10.1080/135048596356113
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    References listed on IDEAS

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    1. Hall, Robert E, 1988. "Intertemporal Substitution in Consumption," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-357, April.
    2. Robert E. Hall, 1985. "Real Interest and Consumption," NBER Working Papers 1694, National Bureau of Economic Research, Inc.
    3. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
    4. Selden, Larry, 1978. "A New Representation of Preferences over "Certain A Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis," Econometrica, Econometric Society, vol. 46(5), pages 1045-1060, September.
    5. Bufman, Gil & Leiderman, Leonardo, 1990. "Consumption and asset returns under non-expected utility : Some new evidence," Economics Letters, Elsevier, vol. 34(3), pages 231-235, November.
    6. Attanasio, Orazio P & Weber, Guglielmo, 1989. "Intertemporal Substitution, Risk Aversion and the Euler Equation for Consumption," Economic Journal, Royal Economic Society, vol. 99(395), pages 59-73, Supplemen.
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    Cited by:

    1. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," MetaArXiv b8uhe, Center for Open Science.

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