IDEAS home Printed from https://ideas.repec.org/p/mtl/montde/9540.html
   My bibliography  Save this paper

Temporal Aggregation in a Multi-Sector Economy with Endogenous Growth

Author

Listed:
  • Mercenier, J.
  • Michel, P.

Abstract

We provide a theoretical treatment of temporal aggregation in models that exhibit long-term endogenously-generated steady growth; hence generalizing our previous analysis (Econometrica 62, 1994, pp. 635-56). We introduce the property of steady-growth invariance - that the long-term growth of the continuous-time economy not be affected by the discretization - which imposes consistency restrictions on the joint formulation of preferences and stock accumulation of the discrete-time approximation. We establish, under mild conditions, these restrictions in the form of necessary and sufficient conditions on the discretization.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Mercenier, J. & Michel, P., 1995. "Temporal Aggregation in a Multi-Sector Economy with Endogenous Growth," Cahiers de recherche 9540, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:9540
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/1866/2097
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
    2. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
    3. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
    4. Mercenier, j. & michel, p., 1991. "Discrete Time Finite Horizon Approximation of Optimal Growth With Steady State Invariance," Cahiers de recherche 9122, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. McGrattan, Ellen R., 1996. "Solving the stochastic growth model with a finite element method," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 19-42.
    6. Mercenier, Jean & Michel, Philippe, 1994. "Discrete-Time Finite Horizon Appromixation of Infinite Horizon Optimization Problems with Steady-State Invariance," Econometrica, Econometric Society, vol. 62(3), pages 635-656, May.
    7. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March.
    8. Jones, Larry E & Manuelli, Rodolfo E & Rossi, Peter E, 1993. "Optimal Taxation in Models of Endogenous Growth," Journal of Political Economy, University of Chicago Press, vol. 101(3), pages 485-517, June.
    9. Caballe, Jordi & Santos, Manuel S, 1993. "On Endogenous Growth with Physical and Human Capital," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1042-1067, December.
    10. Mercenier, J. & Michel, P., 1991. "A Criterion For Time Aggregation Intertemporal Dynamic Models," Cahiers de recherche 9108, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    11. Christiano, Lawrence J., 1985. "A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts," Journal of Economic Dynamics and Control, Elsevier, vol. 9(4), pages 363-404, December.
    12. van Ours, J. C. & Burdett, K. & Coles, M., 1994. "Temporal Aggregation Bias in Stock-Flow Models," Other publications TiSEM 993a7da0-0d67-4900-b529-6, Tilburg University, School of Economics and Management.
    13. Hansen, Lars Peter & Sargent, Thomas J, 1983. "Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 1-20, February.
    14. Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-563, May.
    15. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gustavo Gonzaga & Maria Cristina Terra & Jorge Cavalcante, 1997. "O impacto do Mercosul sobre o emprego setorial no Brasil," Textos para discussão 382, Department of Economics PUC-Rio (Brazil).
    2. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
    3. Ragni, Stefania & Diele, Fasma & Marangi, Carmela, 2010. "Steady-state invariance in high-order Runge-Kutta discretization of optimal growth models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1248-1259, July.
    4. Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
    5. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    6. Rutherford, Thomas F. & Tarr, David G., 1998. "Trade liberalization and endogenous growth in a small open economy : a quantitative assessment," Policy Research Working Paper Series 1970, The World Bank.

    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. Posch, Olaf & Trimborn, Timo, 2013. "Numerical solution of dynamic equilibrium models under Poisson uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2602-2622.
    2. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    3. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum Likelihood in the Frequency Domain: A Time to Build Example," NBER Working Papers 7027, National Bureau of Economic Research, Inc.
    4. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
    5. Philip Trostel & Ian Walker, 2006. "Education and Work," Education Economics, Taylor & Francis Journals, vol. 14(4), pages 377-399.
    6. HIRAGUCHI Ryoji, 2018. "Wealth Distribution in the Endogenous Growth Model with Idiosyncratic Investment Risk," Discussion papers 18009, Research Institute of Economy, Trade and Industry (RIETI).
    7. Gian Maria Milesi-Ferretti & Nouriel Roubini, 1995. "Growth Effects of Income and Consumption Taxes: Positive and Normative Analysis," Working Papers 95-18, New York University, Leonard N. Stern School of Business, Department of Economics.
    8. Pedro Garcia-Castrillo & Marcos Sanso, 2000. "Human Capital and Optimal Policy in a Lucas-type Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(4), pages 757-770, October.
    9. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
    10. Pecorino, Paul, 1995. "Tax rates and tax revenues in a model of growth through human capital accumulation," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 527-539, December.
    11. Mercenier, Jean & Yeldan, Erinc, 1999. "A Plea For Greater Attention on the Data in Policy Analysis," Journal of Policy Modeling, Elsevier, vol. 21(7), pages 851-873, December.
    12. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
    13. Stokey, Nancy L & Rebelo, Sergio, 1995. "Growth Effects of Flat-Rate Taxes," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 519-550, June.
    14. Manuel A. Gómez, 2008. "Fiscal Policy, Congestion, and Endogenous Growth," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 10(4), pages 595-622, August.
    15. Ladron-de-Guevara, Antonio & Ortigueira, Salvador & Santos, Manuel S., 1997. "Equilibrium dynamics in two-sector models of endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 21(1), pages 115-143, January.
    16. Milesi-Ferretti, Gian Maria & Roubini, Nouriel, 1998. "On the taxation of human and physical capital in models of endogenous growth," Journal of Public Economics, Elsevier, vol. 70(2), pages 237-254, November.
    17. Trofimov Georgy, 2003. "Regimes of Growth and Economic Integration. Why Poor Countries Cannot Join the "Club" of the Rich?," EERC Working Paper Series 03-03e, EERC Research Network, Russia and CIS.
    18. Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
    19. Akira Yakita, 2001. "Taxation in an Overlapping Generations Model with Human Capital," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 8(5), pages 775-792, November.
    20. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.

    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:mtl:montde:9540. 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: Sharon BREWER (email available below). General contact details of provider: https://edirc.repec.org/data/demtlca.html .

    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.