Modelling income processes with lots of heterogeneity.
All empirical models of earnings processes in the literature assume a good deal of homogeneity. In contrast to this we model earnings processes allowing for lots of heterogeneity between agents. We also introduce an ex- tension to the linear ARMA model that allows that the initial convergence to the...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
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2010
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| _version_ | 1826264608679133184 |
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| author | Browning, M Ejrnæs, M Alvarez, J |
| author_facet | Browning, M Ejrnæs, M Alvarez, J |
| author_sort | Browning, M |
| collection | OXFORD |
| description | All empirical models of earnings processes in the literature assume a good deal of homogeneity. In contrast to this we model earnings processes allowing for lots of heterogeneity between agents. We also introduce an ex- tension to the linear ARMA model that allows that the initial convergence to the long run may be di¤erent 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 …t our models to a variety of statistics including most of those considered by pre- vious investigators. We use a sample drawn from the PSID, and focus on white males with a high school degree. Despite this observable homogene- ity we …nd much greater latent heterogeneity than previous investigators. |
| first_indexed | 2024-03-06T20:10:35Z |
| format | Journal article |
| id | oxford-uuid:2a6d3e8d-c5ad-4222-91a8-e5ee5b8d05cc |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T20:10:35Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | oxford-uuid:2a6d3e8d-c5ad-4222-91a8-e5ee5b8d05cc2022-03-26T12:24:55ZModelling income processes with lots of heterogeneity.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:2a6d3e8d-c5ad-4222-91a8-e5ee5b8d05ccEnglishDepartment of Economics - ePrints2010Browning, MEjrnæs, MAlvarez, JAll empirical models of earnings processes in the literature assume a good deal of homogeneity. In contrast to this we model earnings processes allowing for lots of heterogeneity between agents. We also introduce an ex- tension to the linear ARMA model that allows that the initial convergence to the long run may be di¤erent 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 …t our models to a variety of statistics including most of those considered by pre- vious investigators. We use a sample drawn from the PSID, and focus on white males with a high school degree. Despite this observable homogene- ity we …nd much greater latent heterogeneity than previous investigators. |
| spellingShingle | Browning, M Ejrnæs, M Alvarez, J Modelling income processes with lots of heterogeneity. |
| title | Modelling income processes with lots of heterogeneity. |
| title_full | Modelling income processes with lots of heterogeneity. |
| title_fullStr | Modelling income processes with lots of heterogeneity. |
| title_full_unstemmed | Modelling income processes with lots of heterogeneity. |
| title_short | Modelling income processes with lots of heterogeneity. |
| title_sort | modelling income processes with lots of heterogeneity |
| work_keys_str_mv | AT browningm modellingincomeprocesseswithlotsofheterogeneity AT ejrnæsm modellingincomeprocesseswithlotsofheterogeneity AT alvarezj modellingincomeprocesseswithlotsofheterogeneity |