#1995-002C "Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption"
by Christopher J. Neely, Amlan Roy, and Charles Whiteman

Revised June 1999

Is the risk aversion parameter in the simple intertemporal consumption CAPM "small" as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this fundamental parameter not only to failures of instrument admissibility as do Hall (1988) and Hansen-Singleton (1996), but rather to failures of instrument relevance. More...

PUBLISHED: Journal of Business and Economic Statistics, October 2001, 19(4), pp. 395-403