On the Consequences of Planning Interval Specification Error for the Estimation of Dynamic Models

Roger R. Betancourt, Journal of Econometrics 6(2), 237-242, September .

Abstract:

In recent years, it has become customary to derive dynamic behavioral relationships from intertemporal utility maximization. Since the planning interval for which decisions are made is unknown, a likely specification error in dynamic models is that the period for which data are available is longer than the planning interval. This paper brings out the consequences of this specification error for the estimation of dynamic models derived from intertemporal utility maximization.

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