Publisher Summary This chapter explains Hansen's (1982) generalized method of moments
(GMM) to applied researchers, and to give practical guidance as to how GMM estimation …

The local power of many popular non‐cointegration tests has recently been shown to
depend on a certain nuisance parameter. Depending on the value of that parameter …

In estimating, the intertemporal elasticity of substitution, Hall finds that, when one takes
account of time aggregation, point estimates are small and not significantly different from …

The relationship between real interest rates, saving, and growth is a central issue in
development economics. Using macroeconomic data for a cross-section of countries, we …

Devaluation is an integral part of adjustment in many developing countries, particularly
relied upon by countries facing large external imbalances. A devaluation can only reduce …

This paper constructs and estimates a model of consumer preferences in which the
intertemporal elasticity of substitution (IES) of consumption expenditure rises with the level of …

In this paper, we estimate the (long-run) intertemporal elasticity of substitution of non-
durable consumption, which has often been estimated with the generalized methods of …

A time-series counterpart of Engel's law is that the expenditure share on food declines as the
economy grows. The main purpose of this paper is to test whether Houthakker's addilog …

There is a substantial empirical literature which examines the relationship between private
and public consumption. The conclusions from this literature, however, are generally mixed …

We present new tests of three theories of the labor market: intertemporal substitution, hours
restrictions, and implicit contracts. The intertemporal substitution test we implement is an …