GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings.

Share and Export

Doris, Aedin, O'Neill, Donal and Sweetman, Olive (2010) GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings. NUI Maynooth. (Unpublished)

PDF
N212.10.pdf
Download (83kB)

Abstract

This note describes gmmcovearn a user-written Stata package that performs GMM estimation of the covariance structure of earnings for a variety of models. The program decomposes the variance of earnings into a permanent and transitory component using the GMM estimator. The program incorporates both time factor loadings and cohort factor loadings on both the transitory and permanent component, allows the transitory component to follow either an AR or an ARMA process and allows for random heterogeneous growth in the permanent component. The program is used in recent papers by Doris et al (2010a, 2010b).

Item Type:	Other
Keywords:	Stata; Permanent Inequality; Transitory Inequality; Generalized Method of Moments; Covariance Structure of Earnings;
Academic Unit:	Faculty of Social Sciences > Economics, Finance and Accounting
Item ID:	2025
Depositing User:	Ms Sandra Doherty
Date Deposited:	02 Jul 2010 17:47
Publisher:	NUI Maynooth
URI:	https://mural.maynoothuniversity.ie/id/eprint/2025
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

MURAL - Maynooth University Research Archive Library

GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings.

Abstract

Repository Staff Only (login required)

Downloads

Origin of downloads