Modelling income processes with lots of heterogeneity

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Modelling income processes with lots of heterogeneity. / Browning, Martin; Ejrnæs, Mette; Alvarez, Javier.

In: Review of Economic Studies, Vol. 77, No. 4, 2010, p. 1353-1381.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Browning, M, Ejrnæs, M & Alvarez, J 2010, 'Modelling income processes with lots of heterogeneity', Review of Economic Studies, vol. 77, no. 4, pp. 1353-1381. https://doi.org/10.1111/j.1467-937X.2010.00612.x

APA

Browning, M., Ejrnæs, M., & Alvarez, J. (2010). Modelling income processes with lots of heterogeneity. Review of Economic Studies, 77(4), 1353-1381. https://doi.org/10.1111/j.1467-937X.2010.00612.x

Vancouver

Browning M, Ejrnæs M, Alvarez J. Modelling income processes with lots of heterogeneity. Review of Economic Studies. 2010;77(4):1353-1381. https://doi.org/10.1111/j.1467-937X.2010.00612.x

Author

Browning, Martin ; Ejrnæs, Mette ; Alvarez, Javier. / Modelling income processes with lots of heterogeneity. In: Review of Economic Studies. 2010 ; Vol. 77, No. 4. pp. 1353-1381.

Bibtex

@article{aed354a0b0ec11df825b000ea68e967b,
title = "Modelling income processes with lots of heterogeneity",
abstract = "We model earnings processes allowing for lots of heterogeneity across agents. We also introduce an extension to the linear ARMA model which allows the initial convergence in the long run to be different from that implied by the conventional ARMA model. This is particularly important for unit root tests, which are actually tests of a composite of two independent hypotheses. We fit to a variety of statistics including most of those considered by previous investigators. We use a sample drawn from the Panel Study of Income Dynamics (PSID), and focus on white males with a high-school degree. Despite this observable homogeneity, we find more latent heterogeneity than previous investigators. We show that allowance for heterogeneity makes substantial differences to estimates of model parameters and to outcomes of interest. Additionally, we find strong evidence against the hypothesis that any worker has a unit root.",
author = "Martin Browning and Mette Ejrn{\ae}s and Javier Alvarez",
year = "2010",
doi = "10.1111/j.1467-937X.2010.00612.x",
language = "English",
volume = "77",
pages = "1353--1381",
journal = "Review of Economic Studies",
issn = "0034-6527",
publisher = "Oxford University Press",
number = "4",

}

RIS

TY - JOUR

T1 - Modelling income processes with lots of heterogeneity

AU - Browning, Martin

AU - Ejrnæs, Mette

AU - Alvarez, Javier

PY - 2010

Y1 - 2010

N2 - We model earnings processes allowing for lots of heterogeneity across agents. We also introduce an extension to the linear ARMA model which allows the initial convergence in the long run to be different from that implied by the conventional ARMA model. This is particularly important for unit root tests, which are actually tests of a composite of two independent hypotheses. We fit to a variety of statistics including most of those considered by previous investigators. We use a sample drawn from the Panel Study of Income Dynamics (PSID), and focus on white males with a high-school degree. Despite this observable homogeneity, we find more latent heterogeneity than previous investigators. We show that allowance for heterogeneity makes substantial differences to estimates of model parameters and to outcomes of interest. Additionally, we find strong evidence against the hypothesis that any worker has a unit root.

AB - We model earnings processes allowing for lots of heterogeneity across agents. We also introduce an extension to the linear ARMA model which allows the initial convergence in the long run to be different from that implied by the conventional ARMA model. This is particularly important for unit root tests, which are actually tests of a composite of two independent hypotheses. We fit to a variety of statistics including most of those considered by previous investigators. We use a sample drawn from the Panel Study of Income Dynamics (PSID), and focus on white males with a high-school degree. Despite this observable homogeneity, we find more latent heterogeneity than previous investigators. We show that allowance for heterogeneity makes substantial differences to estimates of model parameters and to outcomes of interest. Additionally, we find strong evidence against the hypothesis that any worker has a unit root.

U2 - 10.1111/j.1467-937X.2010.00612.x

DO - 10.1111/j.1467-937X.2010.00612.x

M3 - Journal article

VL - 77

SP - 1353

EP - 1381

JO - Review of Economic Studies

JF - Review of Economic Studies

SN - 0034-6527

IS - 4

ER -

ID: 21593161