TY  - JOUR
AU  - Eichenbaum,Martin S.
AU  - Hansen,Lars Peter
AU  - Singleton,Kenneth J.
TI  - A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1981
PY  - 1986
Y2  - July 1986
UR  - http://www.nber.org/papers/w1981
L1  - http://www.nber.org/papers/w1981.pdf
N1  - Author contact info:
Martin S. Eichenbaum
Department of Economics
Northwestern University
2003 Sheridan Road
Evanston, IL  60208
Tel: 847/491-8232
Fax: 847/491-7001
E-Mail: eich@northwestern.edu

Lars P. Hansen
Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490
E-Mail: lhansen@uchicago.edu

Kenneth J. Singleton
Graduate School of Business
Knight Management Center
Stanford University
Stanford, CA 94305
Tel: 650/723-5753
Fax: 650/725-6152
E-Mail: kenneths@stanford.edu
AB  - This paper investigates empirically a model of aggregate consumption and
leisure decisions in which goods and leisure provide services over time. The
implied time non-separability of preferences introduces an endogenous source of
dynamics which affects both the co-movements in aggregate compensation and hours
worked and the cross-relations between prices and quantities. These cross-relations
are examined empirically using post-war monthly U.S. data on quantities,
real wages and the real return on the one-month Treasury bill. We find
substantial evidence against the overidentifying restrictions. The test results
suggest that the orthogonality conditions associated with the representative
consumer's intratemporal Euler equation underlie the failure of the model.
Additionally, the estimated values of key parameters differ significantly from
the values assumed in several studies of real business models. Several possible
reasons for these discrepancies are discussed.
ER  -