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Author:Altug, Sumru 

Discussion Paper
Human capital, aggregate shocks, and panel data estimation
This paper analyses how the wage and employment decisions of females are affected by past workforce participation and hours supplied. Our estimation methods exploit the fact that, when markets are complete, the Lagrange multiplier for an agents lifetime budget constraint always enters multiplicatively with the prices of (contingent claims to) consumption and leisure. Depending on the properties of the equilibrium price process, it is thus possible to predict the behavior of a wealthy agent by observing that of a poorer person living in a more prosperous world. This provides the key to estimating, nonparametrically, the expectations that enter the calculus of equilibrium decisionmaking, and ultimately the structural parameters which characterize preferences.
AUTHORS: Miller, Robert A.; Altug, Sumru
DATE: 1990

Working Paper
Household choices in equilibrium
This paper investigates the role of aggregate shocks on household consumption and labor supply. It posits, estimates and tests a model where the equilibrium behavior of agents sometimes leads them to locate on the boundary of their respective choices sets. The framework is rich enough to nest much previous empirical work on life cycle labor supply and consumption based asset pricing. It also yields a structural interpretation of wage regressions on unemployment. An important feature of our model is that markets are complete. Consequently, aggregate shocks only enter through two price sequences, namely real wages, and a sequence comprising weighted prices for future contingent consumption claims which are ultimately realized. We examine the properties of this latter sequence, whose elements may be represented as mappings from real wages and aggregate dividends. ; Our empirical findings may be grouped into three. First, aggregate shocks play a significant role in determining the choices people make. Second, we reject for males some of the restrictions implicit in structural interpretations of wage unemployment regressions. Moreover when these restrictions are imposed, we find wages are countercyclical, but cannot reject the null hypothesis of no effect. Third, the null hypothesis that markets are complete is not invariably rejected. However, the orthogonality conditions associated with the asset pricing equation are rejected, even though our specification of preferences incorporates types of heterogeneity which violate the necessary conditions for aggregating to a representative agent formulation. Finally, we reject the cross-equation restrictions between the labor supply of spouses implied by equilibrium behavior.
AUTHORS: Miller, Robert A.; Altug, Sumru
DATE: 1987

Working Paper
Time to build and aggregate fluctuations: some new evidence
This paper presents maximum likelihood estimates of a real business cycle model very similar to one Kydland and Prescott [1982] suggested. The results of the paper conflict with Kydland and Prescott?s. The model leaves unexplained much of the variance of two key investment series, namely, structures and equipment. Also, much of the variation in the differences of per capita hours can be generated assuming that past leisure choices do not affect current utility.
AUTHORS: Altug, Sumru
DATE: 1986

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