Disentangling Age, Cohort and Time Effects in the Additive Model
AbstractThis paper presents a new approach to the old problem of linear dependency of age, cohort and time effects. It is shown that second differences of the effects can be estimated without any normalization restrictions, providing information on the shape of the age-, cohort- and time-effect profiles, and enabling identification of structural breaks. A Wald test is provided to test the popular linear and quadratic specifications against a very general alternative. The method is illustrated through examples which show its ability to detect structural breaks in time effects as a result of the Mexican peso crisis, and to determine whether the age-effect profile in the variance of Taiwanese log consumption is concave or convex. Copyright 2006 Blackwell Publishing Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 68 (2006)
Issue (Month): 4 (08)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
Other versions of this item:
- David McKenzie, 2002. "Distangling Age, Cohort and Time Effects in the Additive Model," Working Papers 02009, Stanford University, Department of Economics.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Verbeek, Marno & Nijman, Theo, 1993.
"Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections,"
Journal of Econometrics,
Elsevier, vol. 59(1-2), pages 125-136, September.
- Verbeek, M. & Nijman, T., 1992. "Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections," Papers 9201, Tilburg - Center for Economic Research.
- Nijman, T.E. & Verbeek, M.J.C.M., 1993. "Minimum MSE estimation of a regression model with fixed effects from a series of cross sections," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153277, Tilburg University.
- James Heckman & Edward Vytlacil, 2000.
"Identifying the Role of Cognitive Ability in Explaining the Level of and Change in the Return to Schooling,"
NBER Working Papers
7820, National Bureau of Economic Research, Inc.
- James Heckman & Edward Vytlacil, 2001. "Identifying The Role Of Cognitive Ability In Explaining The Level Of And Change In The Return To Schooling," The Review of Economics and Statistics, MIT Press, vol. 83(1), pages 1-12, February.
- Dolores Collado, M., 1997. "Estimating dynamic models from time series of independent cross-sections," Journal of Econometrics, Elsevier, vol. 82(1), pages 37-62.
- Deaton, Angus & Paxson, Christina, 1994.
"Intertemporal Choice and Inequality,"
Journal of Political Economy,
University of Chicago Press, vol. 102(3), pages 437-67, June.
- Tullio Jappelli, 1999.
"The Age-Wealth Profile and The Life-Cycle Hypothesis: a Cohort Analysis with a Time Series of Cross-Sections of Italian Households,"
CSEF Working Papers
14, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Jappelli, Tullio, 1999. "The Age-Wealth Profile and the Life-Cycle Hypothesis: A Cohort Analysis with Time Series of Cross-Sections of Italian Households," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 45(1), pages 57-75, March.
- Jappelli, Tullio, 1995. "The Age-Wealth Profile and the Life-Cycle Hypothesis: A Cohort Analysis with a Time Series of Cross-Sections of Italian Households," CEPR Discussion Papers 1251, C.E.P.R. Discussion Papers.
- David J. McKenzie, 2001. "The Household Response to the Mexican Peso Crisis," Working Papers 01017, Stanford University, Department of Economics.
- Hausman, Jerry A & Taylor, William E, 1981.
"Panel Data and Unobservable Individual Effects,"
Econometric Society, vol. 49(6), pages 1377-98, November.
- Deaton, Angus, 1985. "Panel data from time series of cross-sections," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 109-126.
- Denton, Frank T & Mountain, Dean C & Spencer, Byron G, 1999. "Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 430-43, October.
- Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009. "The Demographics of Innovation and Asset Returns," NBER Working Papers 15457, National Bureau of Economic Research, Inc.
- Nicolae Garleanu & Leonid Kogan & Stavros Panagaeas, 2009. "The Demographics of Innovation and Asset Returns," Working Papers 2009-008, Becker Friedman Institute for Research In Economics.
- Geyer, Johannes & Steiner, Viktor, 2010.
"Public Pensions, Changing Employment Patterns, and the Impact of Pension Reforms across Birth Cohorts: A Microsimulation Analysis for Germany,"
IZA Discussion Papers
4815, Institute for the Study of Labor (IZA).
- Geyer, Johannes & Steiner, Viktor, 2010. "Public pensions, changing employment patterns, and the impact of pension reforms across birth cohorts: A microsimulation analysis for Germany," Discussion Papers 2010/8, Free University Berlin, School of Business & Economics.
- Johannes Geyer & Viktor Steiner, 2010. "Public Pensions, Changing Employment Patterns, and the Impact of Pension Reforms across Birth Cohorts: A Microsimulation Analysis for Germany," SOEPpapers on Multidisciplinary Panel Data Research 276, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Johannes Geyer & Viktor Steiner, 2010. "Public Pensions, Changing Employment Patterns, and the Impact of Pension Reforms across Birth Cohorts: A Microsimulation Analysis for Germany," Discussion Papers of DIW Berlin 984, DIW Berlin, German Institute for Economic Research.
- Koji Sakai & Iichiro Uesugi & Tsutomu Watanabe, 2005.
"Firm Age and the Evolution of Borrowing Costs: Evidence from Japanese Small Firms,"
05026, Research Institute of Economy, Trade and Industry (RIETI).
- Sakai, Koji & Uesugi, Iichiro & Watanabe, Tsutomu, 2010. "Firm age and the evolution of borrowing costs: Evidence from Japanese small firms," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1970-1981, August.
- Sakai, Koji & Uesugi, Iichiro & Watanabe, Tsutomu, 2008. "Firm Age and the Evolution of Borrowing Costs: Evidence from Japanese Small Firms," PIE/CIS Discussion Paper 354, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Tilak Abeysinghe & Jiaying Gu, 2010.
"The Cultural Revolution, Stress and Cancer,"
SCAPE Policy Research Working Paper Series
1001, National University of Singapore, Department of Economics, SCAPE.
- Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012. "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 491-510.
- Laura Rossouw & Rulof Burger & Ronelle Burger, 2012.
"The fertility transition in South Africa: A retrospective panel data analysis,"
03/2012, Stellenbosch University, Department of Economics, revised 2012.
- Rulof P Burger & Ronelle Burger & Laura Rossouw, 2012. "The fertility transition in South Africa: A retrospective panel data analysis," Development Southern Africa, Taylor & Francis Journals, vol. 29(5), pages 738-755, December.
- Landeghem Bert van, 2011.
"A Test for the Convexity of Human Well-Being over the Life Cycle: Longitudinal Evidence from a 20-Year Panel,"
ROA Research Memorandum
008, Maastricht University, Research Centre for Education and the Labour Market (ROA).
- Van Landeghem, Bert, 2012. "A test for the convexity of human well-being over the life cycle: Longitudinal evidence from a 20-year panel," Journal of Economic Behavior & Organization, Elsevier, vol. 81(2), pages 571-582.
- Landeghem Bert van, 2011. "A Test for the Convexity of Human Well-Being over the Life Cycle: Longitudinal Evidence from a 20-Year Panel," Research Memorandum 043, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Coulson, N. Edward & McMillen, Daniel P., 2008. "Estimating time, age and vintage effects in housing prices," Journal of Housing Economics, Elsevier, vol. 17(2), pages 138-151, June.
- Rubio, Gloria M. & Soloaga, Isidro, 2004.
"Assessing the Vulnerability of Agricultural Households to Macroeconomic Shocks: Evidence from Mexico,"
eJADE: electronic Journal of Agricultural and Development Economics,
Food and Agriculture Organization, Agricultural and Development Economics Division, vol. 1(1).
- Gloria M. Rubio & Isidro Soloaga, 2004. "Assessing the Vulnerability of Agricultural Households to Macroeconomic Shocks: Evidence from Mexico," The Electronic Journal of Agricultural and Development Economics, Food and Agriculture Organization of the United Nations, vol. 1(1), pages 45-62.
- Gregori Baetschmann, 2011. "Heterogeneity in the relationship between happiness and age: Evidence from the German Socio-Economic Panel," ECON - Working Papers 047, Department of Economics - University of Zurich.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.