Testing for Intertemporal Nonseparability

Ian Crawford, Matthew Polisson*

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-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
Number of pages4
JournalJournal of mathematical economics
Volume52
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Anticipation
  • Habits
  • Revealed preference
  • Time separability

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