Risks for the Long Run: Estimation with Time Aggregation

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Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, methodology): “(2013), Guorio (2012), Bansal, Kiku and Yaron (2013), and Bansal et al. (2014), we use EIS values of 1:5 and 2: The literature provides a wide range of estimates for this parameter. Hall (1988) and Campbell (1999) argue the EIS is less than one, but Attanasio and Weber (1989), Beaudry and van Wincoo”
MEASURING INTERTEMPORAL SUBSTITUTION: THE IMPORTANCE OF METHOD CHOICES AND SELECTIVE REPORTING (2015, background): “Bansal et al. (2012) stress the difference between consumers’ decision frequency and the econometrician’s sampling frequency of the data.”
Cross-Country Heterogeneity in Intertemporal Substitution (2015, background): “Bayoumi (1993), for example, finds that financial deregulation in the UK brought a substantial increase in the proportion of households with a positive EIS.”