Closed-Form Solution of General Intertemporal Consumption Maximization Models

Chipman, John S. and Tian, Guoqiang (1993): Closed-Form Solution of General Intertemporal Consumption Maximization Models. Published in: Mathematical Modeling in Economics (1993): pp. 95-109.

Abstract

This paper considers explicit representations for very general (discrete and continuous-time) intertemporal consumption-maximization models which allow the instantaneous preferences of the consumer and the time-preference factors to vary over time and for the non-existence of utility functions, more than one generation of consumers with a given probability of death, many commodities, and, further, a wide class of preferences which do not necessarily satisfy the so-called “regularity conditions” (such as differentiability, strict convexity, boundedness, or continuity) and include most of the well-known preferences in literature.

• Item Type: MPRA Paper
• Language: English
• Keywords: Closed-form; Solution; Intertemporal Consumption; Maximum Models
• Subjects: D - Microeconomics > D9 - Intertemporal Choice > D91 - Intertemporal Household Choice ; Life Cycle Models and Saving

References

ARROW, K.J. and HURWICZ, L. (1958), “On the Stability of the Competitive Equilibrium, I,” Econometrica 26, 522-552.

BLANCHARD, O.J. (1985), “Debt, Deficits, and Finite Horizons,” Journal of Political Economy 93, 223-247.

BLUNDELL, R. and WALKER, I. (1986), “A Life-Cycle Consistent Empirical Model of Family Labor Supply Using Cross-Section Data,” Review of Economic Studies 53, 539-558.

BROWN, M. and HEIEN, D.M. (1972), “The S-Branch Utility Tree: A Generalization of the Linear Expenditure System,” Econometrica 40, 737-747.

CHIPMAN, J.S. and MOORE, J.C. (1976), “The Scope of Consumer’s Surplus Arguments,” in A.M. Tang et al., eds., Evolution, Welfare and Time in Economics, D.C. Health, Lexington, Mass., 69-123.

CHIPMAN, J.S. and MOORE, J.C. (1990), “Acceptable Indicators of Welfare Change, Consumer’s Surplus Analysis, and Gorman Polar Form,” in J.S. Chipman, D. McFadden, and M.K. Richter, eds., Preferences, Uncertainty, and Optimality, Westview Press, Boulder, Colorado, 68-120.

CHIPMAN, J.S. and TIAN, G. (1992), “A General-Equilibrium Intertemporal Model of an Open Economy,” Economic Theory 2, 215-246.

COOPER, R.J. and MCLAREN, K.R. (1983), “Modelling Price Expectations in Intertemporal Consumer Demand Systems: Theory and Application,” Review of Economics and Statistics 65, 282-288.

GORMAN, W.M. (1976), “Tricks with Utility Functions,” in M. Artis and R. Nobay, eds., Essays in Economic Analysis, Cambridge University Press, Cambridge, 211-243.

KANTOROVICH, L.V. (1965), “Factor Proportions and the Structure of American Trade: Further Theoretical and Empirical Analysis.” Review of Economics and Statistics 38, 386-407.