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: | Working paper |
| Language: | English |
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Department of Economics (University of Oxford)
2006
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| _version_ | 1826297646650753024 |
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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 | 2024-03-07T04:34:50Z |
| format | Working paper |
| id | oxford-uuid:cf921f5f-637d-4d14-ae78-e989b6fc4f22 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:34:50Z |
| publishDate | 2006 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:cf921f5f-637d-4d14-ae78-e989b6fc4f222022-03-27T07:43:33ZModelling income processes with lots of heterogeneity.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:cf921f5f-637d-4d14-ae78-e989b6fc4f22EnglishOxford University Research Archive - ValetDepartment of Economics (University of Oxford)2006Browning, 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 |