A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics
In: Handbook of Econometrics
AbstractThis chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across individuals, focusing on two flexible sets of empirical specifications: dynamic simultaneous equations models incorporating error-components structures, and autoregressive quantile models. The chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in familiar software packages to make them accessible to a wide range of practitioners. Conventional method-of-moments procedures offer a general apparatus for estimating parameters of panel-data specifications, though one must introduce a series of modifications to overcome challenges arising from: (1) use of unbalanced data structures, (2) weighting to account for stratified sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4) computational complexities confronted when estimating large systems of equations with intricate intertemporal restrictions. To allow researchers to separate the estimation of longitudinal time-series specifications into manageable pieces, the discussion describes multi-step approaches that estimate subsets of parameters appearing in a single model component (such as the autoregressive or moving-average structure of the error process) without having to estimate all parameters of the entire model jointly. Such procedures offer a powerful set of diagnostic tools for narrowing model choices and for selecting among specifications that fit the underlying data. To illustrate all of the econometric methods outlined in this chapter, the analysis presents a set of empirical applications summarizing the dynamic properties of hourly wages for adult men using data from the Panel Study of Income Dynamics.
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.
This chapter was published in:
This item is provided by Elsevier in its series Handbook of Econometrics with number 6a-62.
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
Find related papers by JEL classification:
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lee, Soohyung & Malin, Benjamin A., 2013. "Education's role in China's structural transformation," Journal of Development Economics, Elsevier, vol. 101(C), pages 148-166.
- Mark Dincecco & Massimiliano Gaetano Onorato, 2013. "Military Conflict and the Economic Rise of Urban Europe," Working Papers 7/2013, IMT Institute for Advanced Studies Lucca, revised Nov 2013.
- Robert A. Moffitt & Peter Gottschalk, 2011.
"Trends in the Transitory Variance of Male Earnings in the U.S., 1970-2004,"
NBER Working Papers
16833, National Bureau of Economic Research, Inc.
- Robert Moffitt & Peter Gottschalk, 2011. "Trends in the Transitory Variance of Male Earnings in the U.S., 1970-2004," Economics Working Paper Archive 578, The Johns Hopkins University,Department of Economics.
- Robert Moffitt & Peter Gottschalk, 2008. "Trends in the Transitory Variance of Male Earnings in the U.S., 1970-2004," Boston College Working Papers in Economics 697, Boston College Department of Economics.
- Heckman, James J. & Moon, Seong Hyeok & Pinto, Rodrigo & Savelyev, Peter A. & Yavitz, Adam, 2010.
"The rate of return to the HighScope Perry Preschool Program,"
Journal of Public Economics,
Elsevier, vol. 94(1-2), pages 114-128, February.
- Heckman, James J. & Moon, Seong Hyeok & Pinto, Rodrigo & Savelyev, Peter & Yavitz, Adam, 2009. "The Rate of Return to the High/Scope Perry Preschool Program," IZA Discussion Papers 4533, Institute for the Study of Labor (IZA).
- James J. Heckman & Seong Hyeok Moon & Rodrigo Pinto & Peter A. Savelyev & Adam Yavitz, 2009. "The Rate of Return to the High/Scope Perry Preschool Program," Working Papers 200936, Geary Institute, University College Dublin.
- James J. Heckman & Seong Hyeok Moon & Rodrigo Pinto & Peter A. Savelyev & Adam Yavitz, 2009. "The Rate of Return to the High/Scope Perry Preschool Program," NBER Working Papers 15471, National Bureau of Economic Research, Inc.
- Flavio Cunha & James Heckman, 2007.
"The Evolution of Inequality, Heterogeneity and Uncertainty in Labor Earnings in the U.S. Economy,"
PIER Working Paper Archive
07-032, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Cunha, Flavio & Heckman, James J., 2007. "The Evolution of Inequality, Heterogeneity and Uncertainty in Labor Earnings in the U.S. Economy," IZA Discussion Papers 3115, Institute for the Study of Labor (IZA).
- Flavio Cunha & James J. Heckman, 2007. "The Evolution of Inequality, Heterogeneity and Uncertainty in Labor Earnings in the U.S. Economy," NBER Working Papers 13526, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.