Essays in applied microeconometrics [Elektronische Ressource] / Hans-Martin von Gaudecker

Hans-Martin Von Gaudecker

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• Publié par: universitat_mannheim
• Publié le: 01 janvier 2007
• Nombre de lectures: 19
• Langue: English

Extrait

EssaysinAppliedMicroeconometrics
Hans MartinvonGaudecker
InauguraldissertationzurErlangungdesakademischenGradeseinesDoktorsder
WirtschaftswissenschaftenderUniversitätMannheimAbteilungssprecher: Prof. Dr. EnnoMammen
Referent: Prof. AxelBörsch Supan,Ph.D.
Korreferent: Prof. Dr. ArthurvanSoest
TagdermündlichenPrüfung: 15. Juni2007ACKNOWLEDGEMENTS
First and foremost, I would like to thank my supervisor Axel Börsch Supan for
guiding me towards empirical work, creating a truly excellent research environ
ment at MEA, and providing me with an exceptionally large number of opportu
nitiestomakecontactswithoutstandingresearchersallovertheworld. Themost
salient reflection of my extensive use of these possibilities is the fact that this
thesis is based on joint work with coauthors from London, Mannheim, Rostock,
Tilburg, and Lund. I am deeply indebted to each and every one of them: Jérôme
Adda,JamesBanks,AxelBörsch Supan,RobEuwals,thelateAngelikaEymann,
Rembrandt Scholz, Arthur van Soest, and Erik Wengström. Elaborating on each
coauthor’s contributions would require another thesis chapter. Arthur van Soest
alsoagreedtobemysecondadvisor. Iamespeciallygratefulforthis.
Iappreciatethevaluablecommentsreceivedonversionsofmyworkatwork
shops and seminars at the University of Mannheim, University College London,
theGermanFederalPensionInstitute,TilburgUniversity,theTinbergenInstitute,
aswellasatconferencesinVenice,Paris,Rome,Vienna,Mannheim,andTilburg.
Ishouldliketothankanumberofpeoplewhogavetheirtimetodiscussmywork
withmeandprovideddetailedcommentsthathelpedtoimproveuponit: Syngjoo
Choi, Ralf Himmelreicher, Michael Hurd, Morten Lau, Alexander Ludwig, Jür-
gen Maurer (who deserves a special mention for the countless fruitful discussion
wehadovermanycoffees,dinners,andsharedofficedays),MatthiasParey,Jonas
Radl,DanielSchunk,VladimirShkolnikov,JamesSmith,ErikSørensen,Michael
Stegmann, Andreas Uthemann, and Joachim Winter. My colleagues and fellow
studentsatMEAandCDSEwereacontinuoussourceofadviceandithasbeena
pleasuretoworkthere,notleastbecauseMariaDauer,BrunhildGriesbach,Helga
Gebauer, Isabella Nohe, and Petra Worms Lickteig never interpreted their work
asbeinglimitedtoadministrativematterswhichtheyhandledsuperbly.
During my graduate studies, I had the chance to spend prolonged periods of
timeatotherinstitutionsandIthankthemfortheirhospitality: UniversityCollege
London, the German Federal Pension Institute in Berlin (FDZ RV), and Tilburg
University. Financial support from the German Research Foundation (DFG), the
European Commission Marie Curie program, the Land Baden Württemberg, and
theGermanInsuranceAssociation(GDV)isgratefullyacknowledged.
Last but certainly not least, I would like to thank my family and friends for
theirsupportduringtheyearsofmydissertation.TABLEOFCONTENTS
1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2. LifetimeEarningsandLifeExpectancy . . . . . . . . . . . . . . . . . 7
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.2 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2.1 TheGermanPublicPensionSystem . . . . . . . . . . . . 10
2.2.2 DescriptionoftheDataset . . . . . . . . . . . . . . . . . 12
2.3 Results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
pers2.3.1 RemainingLifeExpectancyatAge65byEP . . . . . 15
pers CP2.3.2 MortalitybyEP andEP . . . . . . . . . . . . . . . 18
pers2.3.3 LifeExpectancyatAge65byEP andPlaceofResidence 20
2.3.4 InternationalComparisons . . . . . . . . . . . . . . . . . 23
2.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.5 Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3. TheImpactofIncomeShocksonHealth . . . . . . . . . . . . . . . . . 33
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3.2 EmpiricalStrategy . . . . . . . . . . . . . . . . . . . . . . . . . 36
3.2.1 StochasticProcessforIndividualIncome . . . . . . . . . 37
3.2.2forIndividualHealth . . . . . . . . . . 38
3.2.3 Aggregation . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.2.4 Identification . . . . . . . . . . . . . . . . . . . . . . . . 41
3.2.5 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.3 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44iv TableofContents
3.3.1 TheFamilyExpenditureSurvey(FES) . . . . . . . . . . . 45
3.3.2 TheGeneralHouseholdSurvey(GHS) . . . . . . . . . . 46
3.3.3 TheHealthSurveyforEngland(HSE) . . . . . . . . . . . 47
3.4 Results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
3.4.1 TheVarianceofIncomeShocks . . . . . . . . . . . . . . 48
3.4.2 PermanentIncomeShocksandMortality . . . . . . . . . 49
3.4.3ShocksandHealth . . . . . . . . . . . 50
3.4.4 PermanentIncomeShocksandBehaviour . . . . . . . . . 51
3.4.5 RobustnessofResults . . . . . . . . . . . . . . . . . . . 53
3.4.6 RelationtotheLiterature . . . . . . . . . . . . . . . . . . 53
3.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3.6 Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3.7 Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
4. ExperimentalElicitationofPreferences . . . . . . . . . . . . . . . . . 73
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
4.2 DataandExperimentalSetup . . . . . . . . . . . . . . . . . . . . 76
4.2.1 TheMultiplePriceListFormat . . . . . . . . . . . . . . . 76
4.2.2 TheCentERpanelExperiment . . . . . . . . . . . . . . . 78
4.2.3 TheLaboratory . . . . . . . . . . . . . . . . 80
4.3 SelectionEffectsintheCentERpanelExperiment . . . . . . . . . 81
4.3.1 DescriptiveStatisticsandParticipation . . . . . . . . . . . 83
4.3.2 Perseverance . . . . . . . . . . . . . . . . . . . . . . . . 87
4.3.3 OverallSelectionandConstructionofSamplingWeights . 90
4.4 ErrorsandPreferences . . . . . . . . . . . . . . . . . . . . . . . 92
4.4.1 ErrorsandInconsistenciesintheLabvs. theCentERpanel 92
4.4.2 PreferencesintheLabvs. theCentERpanel . . . . . . . . 95
4.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
5. RiskPreferencesintheSmallforaLargePopulation . . . . . . . . . . 103
5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104TableofContents v
5.2 TheoreticalFramework . . . . . . . . . . . . . . . . . . . . . . . 107
5.2.1 ASimpleModelofChoiceUnderRisk . . . . . . . . . . 107
5.2.2 PreferencestowardstheResolutionofUncertainty . . . . 108
5.3 DataandExperimentalSetup . . . . . . . . . . . . . . . . . . . . 110
5.3.1Design . . . . . . . . . . . . . . . . . . . . 111
5.3.2 DescriptiveEvidence . . . . . . . . . . . . . . . . . . . . 113
5.4 EconometricSpecification . . . . . . . . . . . . . . . . . . . . . 114
5.5 Results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
5.5.1 Evidence from a Model not Allowing for Individual Het
erogeneity . . . . . . . . . . . . . . . . . . . . . . . . . . 118
5.5.2 Evidence from a Model of Risk Aversion with Individual
Heterogeneity . . . . . . . . . . . . . . . . . . . . . . . . 120
5.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
5.7 CertaintyEquivalents . . . . . . . . . . . . . . . . . . . . . . . . 124
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
6. RiskAttitude,Impatience,andAssetChoice . . . . . . . . . . . . . . . 129
6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
6.2 DataandDescriptiveEvidence . . . . . . . . . . . . . . . . . . . 131
6.2.1 DefinitionofAssets . . . . . . . . . . . . . . . . . . . . 132
6.2.2ofWealth . . . . . . . . . . . . . . . . . . . . 133
6.2.3 MeasuringRiskandTimePreferences . . . . . . . . . . . 135
6.2.4 DeterminantsofAssetChoice,WealthandPreferences . . 140
6.3 ModelandEmpiricalStrategy . . . . . . . . . . . . . . . . . . . 141
6.3.1 Wealth, Preferences and Asset Choice: A Structural Ap
proach . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
6.3.2 IdentificationintheModelwithContinuousOutcomes . . 145
6.3.3oftheCovarianceParameters . . . . . . . . 148
6.3.4 IdentificationinthePresenceofDiscreteMeasurements . 149
6.3.5 EstimationoftheStructuralModel . . . . . . . . . . . . . 150
6.4 Results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
6.4.1 MeasuringWealthandAttitudes . . . . . . . . . . . . . . 151
6.4.2 TheDeterminantsofWealthandAttitudes . . . . . . . . . 155vi TableofContents
6.4.3 TheDeterminantsofAssetChoice . . . . . . . . . . . . . 157
6.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
Appendix . . . . . . . . . . . . . . . . . . .