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An estimation of deep parameters describing Argentine consumer behaviour

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  • Hildegart Ahumada
  • Maria Lorena Garegnani

Abstract

This paper investigates the microfoundation of consumer decisions in Argentina (1980:1-2001:3). Structural parameters are estimated following the Euler Equation-GMM approach. Attention is focused on parameter instability, an empirical difficulty for applying this method often pointed out in the literature. The rates of return on assets are approximated by the real interest rate and the rate of growth of real exchange rate as they have been considered as the main variables explaining variations of Argentine 'wealth'. The results show that parameter estimates have the expected values and the correct signs. Overidentifying restrictions are tested and the null hypothesis of validity of instruments is not rejected. Estimates are also robust for different specifications of the weighting matrix. However, parameter constancy is jointly rejected. Recursive estimates show that the risk aversion coefficient appears as more unstable than the impatience parameter, which is also the less uncertain within sample. Observed changes in estimates seem to be an expected response to different macroeconomic frameworks.

Suggested Citation

  • Hildegart Ahumada & Maria Lorena Garegnani, 2004. "An estimation of deep parameters describing Argentine consumer behaviour," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 719-723.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:11:p:719-723
    DOI: 10.1080/1350485042000240084
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    1. Scott, Alasdair, 2003. "APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001," Macroeconomic Dynamics, Cambridge University Press, vol. 7(2), pages 313-315, April.
    2. Donald W. K. Andrews & Ray C. Fair, 1988. "Inference in Nonlinear Econometric Models with Structural Change," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 55(4), pages 615-640.
    3. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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    Cited by:

    1. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2007. "Testing hyperbolic discounting in consumer decisions: Evidence for Argentina," Economics Letters, Elsevier, vol. 95(1), pages 146-150, April.
    2. Mercado, P. Ruben & Cicowiez, Martin, 2013. "Growth analysis in developing countries: empirical issues and a small dynamic model," MPRA Paper 58017, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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