Advanced Search
MyIDEAS: Login

A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

In: Handbook of Econometrics

Contents:

Author Info

  • MaCurdy, Thomas
Registered author(s):

    Abstract

    This 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 Info

    If 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.
    File URL: http://www.sciencedirect.com/science/article/B7GX7-4R9GYJT-5/2/15c98f000e2780d9c077a6d609bbd225
    Download Restriction: Full text for ScienceDirect subscribers only

    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 Info

    as in new window

    This chapter was published in:

  • J.J. Heckman & E.E. Leamer (ed.), 2007. "Handbook of Econometrics," Handbook of Econometrics, Elsevier, edition 1, volume 6, number 6a, January.
    This item is provided by Elsevier in its series Handbook of Econometrics with number 6a-62.

    Handle: RePEc:eee:ecochp:6a-62

    Contact details of provider:
    Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description

    Related research

    Keywords:

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.
    2. 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 Mar 2014.
    3. 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.
    4. 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.
    5. 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.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:ecochp:6a-62. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    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.