We derive a seminonparametric utility function containing the
constant relative risk aversion (CRRA) function as a special case,
and we estimate the associated Euler equations with U.S. consumption
data. There is strong evidence that the CRRA function is
misspecified. The correctly specified function includes lagged
effects of durable goods and perhaps nondurable goods, is bounded as
required by Arrow's Utility Boundedness Theorem, and has a positive
rate of time preference. Constraining sample periods and separability
structure to be consistent with the generalized axiom of revealed
preference affects estimation results substantially. Using Divisia
aggregates instead of the NIPA aggregates also affects results.
