Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal Substitution when Instruments are Weak

Fábio Augusto Reis Gomes; Lourenço S. Paz

doi:10.1002/jae.1264

Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal Substitution when Instruments are Weak

Fábio Augusto Reis Gomes, Lourenço S. Paz

Department of Economics

Research output: Contribution to journal › Comment/Debate/Erratum › peer-review

4 Scopus citations

Abstract

This narrow replication exercise of Yogo (Review of Economics and Statistics 2004; 86(3): 797-810) finds results identical to the original paper, and provides results on overidentification tests for specifications that do not suffer from the weak instruments problem. The null hypothesis of the Sargan test is rejected in several cases, in particular for US and UK quarterly data. When other combinations of instruments are used the null of the Sargan test is rejected again in several cases. These rejections cast doubts on either instrument validity or model specification.

Original language	English (US)
Pages (from-to)	1215-1216
Number of pages	2
Journal	Journal of Applied Econometrics
Volume	26
Issue number	7
DOIs	https://doi.org/10.1002/jae.1264
State	Published - Nov 2011

ASJC Scopus subject areas

Social Sciences (miscellaneous)
Economics and Econometrics

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Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal Substitution when Instruments are Weak

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