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A nonparametric analysis of welfare and the economic shocks

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  • Nicoletta Rosati
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    Abstract

    The behaviour of the permanent and transitory economic shocks for different levels of households' welfare is studied using both consumption and income measures. After testing for heteroskedasticity of the economic shocks, we use local polynomial regression models to estimate the variance of the shocks conditional on welfare level. Italian data covering the period 1980-2004 show evidence of heteroskedasticity of both the transitory and the permanent economic shocks, with the poor experiencing higher variances. The permanent shocks seem to have a more uniform effect at all welfare levels.

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    File URL: http://cemmap.ifs.org.uk/wps/cwp2206.pdf
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    Bibliographic Info

    Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP22/06.

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    Length: 27 pp.
    Date of creation: Oct 2006
    Date of revision:
    Handle: RePEc:ifs:cemmap:22/06

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    Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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    Related research

    Keywords: Heteroskedasticity; income and consumption welfare measures; local polynomial regression; permanent and transitory shocks;

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    1. Richard Blundell & Ian Preston, 1998. "Consumption Inequality And Income Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 113(2), pages 603-640, May.
    2. Angus Deaton & Christina Paxson, 1993. "Intertemporal Choice and Inequality," NBER Working Papers 4328, National Bureau of Economic Research, Inc.
    3. Ramses ABUL NAGA & Robin BURGESS, 1997. "Prediction and Determination of Household Permanent Income," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9705, Université de Lausanne, Faculté des HEC, DEEP.
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