O'Neill, Donal
(2013)
Identification of the covariance structure of earnings
using the GMM estimator.
Journal of Economic Inequality, 11.
pp. 343-372.
ISSN 1569-1721
Abstract
In recent years there has been a rapid growth in the number of studies that
have used the GMM estimator to decompose the earnings covariance structure into
its permanent and transitory parts. Using a heterogeneous growth model of earnings,
we consider the performance of the estimator in this context. We use Monte Carlo
simulations to examine the sensitivity of parameter identification to key features such
as panel length, sample size, the degree of persistence of earnings shocks and the
specification of the earningsmodel. We show that long panels allow the identification
of the model, even when persistence in transitory shocks is high. Short panels, on the
other hand, are insufficient to identify individual parameters of the model even with
moderate levels of persistence.
Item Type: |
Article
|
Keywords: |
Identification; GMM; Covariance structure of earnings; |
Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
Item ID: |
8692 |
Identification Number: |
https://doi.org/10.1007/s10888-012-9216-5 |
Depositing User: |
Donal O'Neill
|
Date Deposited: |
28 Aug 2017 09:40 |
Journal or Publication Title: |
Journal of Economic Inequality |
Publisher: |
Springer Verlag |
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 |
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