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Pá 06.12.2013

Dr. Tomáš Havránek: “Publication Bias in Measuring Intertemporal Substitution”

Dr. Tomáš Havránek

Institute of Economic Studies, Faculty of Social Sciences, Charles University

Abstract: I examine 2,735 estimates of the elasticity of intertemporal substitution in consumption (EIS) reported in 169 published studies. The literature shows strong publication bias: researchers report negative and insignificant estimates less often than they should, which pulls the mean estimate up by about 0.5. When I correct the mean for the bias, for macro estimates I get zero, even though the reported t-statistics are on average two. The corrected mean of micro estimates for asset holders is around 0.3-0.4. Calibrations of the EIS greater than 0.8 are inconsistent with the bulk of the empirical evidence.

Full Text:  “Publication Bias in Measuring Intertemporal Substitution”