IDEAS home Printed from https://ideas.repec.org/a/taf/jeduce/v49y2018i1p103-114.html
   My bibliography  Save this article

Social Security and saving: A time-series econometrics pedagogical example (with code)

Author

Listed:
  • Charles S. Wassell, Jr.

Abstract

In 1974, and then again in 1996, Martin Feldstein published studies of the impact of the Social Security system on private saving in the U.S. economy. He found that Social Security depressed personal saving by a substantial amount—up to 50 percent. The author uses the Feldstein data and empirical models in this article to illustrate the steps in analyzing distributed lag problems. These particular data and methods exemplify, among other things, unit roots, autocorrelated residuals, spurious regression, trend breaks, and cointegration. As such, they provide an excellent pedagogical case study. All R code for this article is provided so that students may replicate and extend the included models and results.

Suggested Citation

  • Charles S. Wassell, Jr., 2018. "Social Security and saving: A time-series econometrics pedagogical example (with code)," The Journal of Economic Education, Taylor & Francis Journals, vol. 49(1), pages 103-114, January.
    • Handle: RePEc:taf:jeduce:v:49:y:2018:i:1:p:103-114
    DOI: 10.1080/00220485.2017.1397575
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00220485.2017.1397575
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00220485.2017.1397575?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    2. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
    3. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Michael R. Darby, 1979. "The Effects of Social Security on Income and the Capital Stock," Books, American Enterprise Institute, number 936292, September.
    6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    7. Martin Feldstein & Robert J. Barro, 1978. "The Impact of Social Security on Private Saving: Evidence from the U.S. Time Series," Books, American Enterprise Institute, number 936368, September.
    8. Martin Feldstein, 2005. "Rethinking Social Insurance," American Economic Review, American Economic Association, vol. 95(1), pages 1-24, March.
    9. Feldstein, Martin S, 1982. "Social Security and Private Saving: Reply," Journal of Political Economy, University of Chicago Press, vol. 90(3), pages 630-642, June.
    10. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    11. Feldstein, Martin S, 1974. "Social Security, Induced Retirement, and Aggregate Capital Accumulation," Journal of Political Economy, University of Chicago Press, vol. 82(5), pages 905-926, Sept./Oct.
    12. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    13. Leimer, Dean R & Lesnoy, Selig D, 1982. "Social Security and Private Saving: New Time-Series Evidence," Journal of Political Economy, University of Chicago Press, vol. 90(3), pages 606-629, June.
    14. Martin Feldstein, 1982. "The Welfare Cost of Social Security's Impact on Private Saving," NBER Working Papers 0969, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. H. Yigit Aydede, 2007. "Saving and Social Security Wealth: A Case of Turkey," NFI Working Papers 2007-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
    2. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
    3. Özgür Aslan & Levent Korap, 2007. "Testing Quantity Theory of Money for the Turkish Economy," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(2), pages 93-109.
    4. Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42, Edward Elgar Publishing.
    5. Tsangyao Chang & Wenshwo Fang & Li-Fang Wen, 2001. "Energy consumption, employment, output, and temporal causality: evidence from Taiwan based on cointegration and error-correction modelling techniques," Applied Economics, Taylor & Francis Journals, vol. 33(8), pages 1045-1056.
    6. Annette N. Brown & Drew B. Cameron & Benjamin D. K. Wood, 2014. "Quality evidence for policymaking: I'll believe it when I see the replication," Journal of Development Effectiveness, Taylor & Francis Journals, vol. 6(3), pages 215-235, September.
    7. Nasr, G. E. & Badr, E. A. & Dibeh, G., 2000. "Econometric modeling of electricity consumption in post-war Lebanon," Energy Economics, Elsevier, vol. 22(6), pages 627-640, December.
    8. PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
    9. de Meulemeester, Jean-Luc & Rochat, Denis, 1995. "A causality analysis of the link between higher education and economic development," Economics of Education Review, Elsevier, vol. 14(4), pages 351-361, December.
    10. Franklin Mixon, 2002. "Social security trust fund flows and the welfare costs of rent seeking," Applied Economics, Taylor & Francis Journals, vol. 34(8), pages 975-979.
    11. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
    12. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    13. Apostolos Serletis, 2007. "Is There an East-West Split in North American Natural Gas Markets?," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 6, pages 59-72, World Scientific Publishing Co. Pte. Ltd..
    14. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
    15. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    16. Onur Ozsoy, 2008. "Defence Spending And The Macroeconomy: The Case Of Turkey," Defence and Peace Economics, Taylor & Francis Journals, vol. 19(3), pages 195-208.
    17. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
    18. Matiur Rahman & Muhammad Mustafa, 2017. "Okun’s law: evidence of 13 selected developed countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 297-310, April.
    19. Charles Yuji Horioka, 2014. "The Life and Work Of Martin Stuart (“Marty”) Feldstein," UP School of Economics Discussion Papers 201410, University of the Philippines School of Economics.
    20. Johannes W. Fedderke, 2022. "Identifying supply and demand shocks in the South African Economy, 1960–2020," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 349-389, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jeduce:v:49:y:2018:i:1:p:103-114. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/VECE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.