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Generalized nonparametric deconvolution with an application to earnings dynamics

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Author Info
Stéphane Bonhomme
Jean-Marc Robin () (Institute for Fiscal Studies and EUREQua, University of Paris 1)

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Abstract

In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The estimator works through empirical characteristic functions. We show that it is consistent, and derive asymptotic convergence rates. Monte-Carlo simulations show good finite-sample performance, less so if distributions are highly skewed or leptokurtic. We finally apply the generalized deconvolution procedure to decompose individual log earnings from the PSID into permanent and transitory components.

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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP03/08.

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Date of creation: Feb 2008
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Handle: RePEc:ifs:cemmap:03/08

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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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.:
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  6. Costas Meghir & Luigi Pistaferri, 2004. "Income Variance Dynamics and Heterogeneity," Econometrica, Econometric Society, vol. 72(1), pages 1-32, 01. [Downloadable!] (restricted)
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  7. Fatih Guvenen, 2007. "Learning Your Earning: Are Labor Income Shocks Really Very Persistent?," American Economic Review, American Economic Association, vol. 97(3), pages 687-712, June. [Downloadable!]
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  8. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Consistent noisy independent component analysis," CeMMAP working papers CWP04/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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  9. Fatih Guvenen, 2007. "An Empirical Investigation of Labor Income Processes," NBER Working Papers 13394, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May. [Downloadable!] (restricted)
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  14. Hall, Robert E & Mishkin, Frederic S, 1982. "The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households," Econometrica, Econometric Society, vol. 50(2), pages 461-81, March. [Downloadable!] (restricted)
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  15. Abowd, John M & Card, David, 1989. "On the Covariance Structure of Earnings and Hours Changes," Econometrica, Econometric Society, vol. 57(2), pages 411-45, March. [Downloadable!] (restricted)
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  16. Horowitz, Joel L & Markatou, Marianthi, 1996. "Semiparametric Estimation of Regression Models for Panel Data," Review of Economic Studies, Blackwell Publishing, vol. 63(1), pages 145-68, January. [Downloadable!] (restricted)
  17. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Xiaohong Chen & Yingyao Hu, 2006. "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors," Cowles Foundation Discussion Papers 1590, Cowles Foundation, Yale University. [Downloadable!]
  2. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Consistent noisy independent component analysis," CeMMAP working papers CWP04/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
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