Template-type: ReDif-Paper 1.0
Author-Name: Croix,David,de la
Author-Name: Urbain,Jean-Pierre
Author-workplace-name: METEOR
Title: Intertemporal substitution in import demand and habit formation *
Abstract: To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the life cycle model in which we introduce time-nonseparability in the households'' preferences. The model is estimated using quarterly data for US and France. Using the infor- mation contained in the observed stochastic and deterministic trends, we derive a cointegration restriction used to estimate curvature parameters of the instantaneous utility function. The remaining parameters are estimated in a second step by GMM. The constancy of the different parameters is investigated, both in the long and the short-run. Habit formation turns out to be an important factor of import demand.
Keywords: mathematical applications; 
Series: Research Memoranda
Creation-Date: 1996
Number: 003
File-URL: http://arnop.unimaas.nl/show.cgi?fid=549
File-Format: application/pdf
File-Size: 266140
Handle: RePEc:unm:umamet:1996003