Journal article
Quantile approach to intertemporal consumption with multiple assets
Journal of econometrics, Vol.253, 106161
01/2026
DOI: 10.1016/j.jeconom.2025.106161
Abstract
This paper develops a novel economic model and econometric methods to jointly identify and estimate parameters related to intertemporal preference and risk attitude. We begin by formulating an intertemporal consumption model with multiple assets based on dynamic quantile preferences that account for elasticity of intertemporal substitution, risk attitude, and discount factor. We establish the properties of the model and obtain interesting explicit expressions for the value function, and the optimal consumption. In addition, we derive the quantile Euler equation. From this equilibrium condition, we show that, when at least two returns are available, one is able to separately identify the risk attitude, which is measured by the quantile τ, and the elasticity of intertemporal substitution and discount factor. We propose new econometric theory for estimating these parameters of interest and establish the statistical properties of the semiparametric two-step estimator. In particular, we show that the estimator is consistent, with a cubic-root rate of convergence, derive its limiting distribution, and suggest a subsampling procedure for inference. Finally, we empirically estimate the structural model, and results show evidence that discount factor is slightly smaller than one, the elasticity of intertemporal substitution is larger than one, and risk attitude is close to the median.
Details
- Title: Subtitle
- Quantile approach to intertemporal consumption with multiple assets
- Creators
- Luciano de Castro - Department of Economics, University of Iowa, USAAntonio F. Galvao - Michigan State UniversityHirofumi Ota - The University of Tokyo
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.253, 106161
- DOI
- 10.1016/j.jeconom.2025.106161
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Publisher
- Elsevier B.V
- Language
- English
- Date published
- 01/2026
- Academic Unit
- Economics
- Record Identifier
- 9985090584602771
Metrics
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