MURAL - Maynooth University Research Archive Library



    GMM estimation of the covariance structure of longitudinal data on earnings


    Doris, Aedin and O'Neill, Donal and Sweetman, Olive (2011) GMM estimation of the covariance structure of longitudinal data on earnings. Stata Journal, 11 (3). pp. 439-459. ISSN 1536-867X

    [img] Download (235kB)


    Share your research

    Twitter Facebook LinkedIn GooglePlus Email more...



    Add this article to your Mendeley library


    Abstract

    In this article, we discuss generalized method of moments estimation of the covariance structure of longitudinal data on earnings, and we introduce and illustrate a Stata program that facilitates the implementation of the generalized method of moments approach in this context. The program, gmmcovearn, estimates a variety of models that encompass those most commonly used by labor economists. These include models where the permanent component of earnings follows a random growth or random walk process and where the transitory component can follow either an AR(1) or an ARMA(1,1) process. In addition, time-factor loadings and cohort-factor loadings may be incorporated in the transitory and permanent components.

    Item Type: Article
    Additional Information: Postprint version of original published article. Definitive version of the article is available at http://www.stata-journal.com/
    Keywords: st0001; gmmcovearn; permanent inequality; transitory inequality; generalized method of moments; GMM; covariance structure of earnings;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 2997
    Depositing User: Donal O'Neill
    Date Deposited: 20 Jan 2012 09:37
    Journal or Publication Title: Stata Journal
    Publisher: Statacorp
    Refereed: Yes
    URI:
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

    Repository Staff Only(login required)

    View Item Item control page

    Downloads

    Downloads per month over past year

    Origin of downloads