The University of Southampton
University of Southampton Institutional Repository

Measuring consumption smoothing in CEX data

Klein, Paul and Gervais, Martin (2010) Measuring consumption smoothing in CEX data Journal of Monetary Economics, 57, (8), pp. 988-999. (doi:10.1016/j.jmoneco.2010.08.009).

Record type: Article


A new method of measuring the degree of consumption smoothing is proposed and implemented using data from the Consumer Expenditure Survey. The structure of this Survey is such that estimators previously used in the literature are inconsistent, simply because income is measured annually and consumption is measured quarterly. An AR(1) structure is imposed on the income process to obtain a proxy for quarterly income through a projection on annual income. By construction, this proxy gives rise to a measurement error which is orthogonal to the proxy itself—as opposed to the unobserved regressor—leading to a consistent estimator. Our estimates are contrasted with the output of two estimators used in the literature. This comparison shows that while the first (OLS) estimator tends to overstate the degree of risk sharing, the second (IV) estimator grossly understates it.

Full text not available from this repository.

More information

Published date: November 2010
Organisations: Economics


Local EPrints ID: 174019
ISSN: 0304-3932
PURE UUID: 50613a94-bdbe-4a48-8fd6-5ed80db3cff8

Catalogue record

Date deposited: 10 Feb 2011 11:28
Last modified: 18 Jul 2017 12:12

Export record



Author: Paul Klein
Author: Martin Gervais

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.