Research Publication

February 1988 | Article

A Time-Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty

Martin S. Eichenbaum, Lars Peter Hansen, Kenneth J. Singleton

This paper investigates empirically a model of aggregate consumption and leisure decisions in which utility from goods and leisure is nontime-separable. The nonseparability of preferences accommodates intertemporal substitution or complementarity of leisure and thereby affects the comovements in aggregate compensation and hours worked. These cross-relations are examined empirically using postwar monthly U. S. data on quantities, real wages, and the real return on the one-month Treasury bill. The estimated values of the parameters governing preferences differ significantly from the values assumed in several studies of real business models. Several possible explanations of these discrepancies are discussed.

Journal: Quarterly Journal of Economics|Volume: 103|Issue Number: 1|Pages: 51-78|Tags: Econometrics, Uncertainty and Valuation|Export BibTeX >
@article{ehs:1988,
  title={A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty},
  author={Eichenbaum, Martin S and Hansen, Lars Peter and Singleton, Kenneth J},
  journal={The Quarterly Journal of Economics},
  volume={103},
  number={1},
  pages={51--78},
  year={1988},
  publisher={Oxford University Press}
}