Identification of the Covariance Structure of Earnings using the GMM Estimator
AbstractIn this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of earnings shocks and the evolution of inequality over time. We show that the interaction of transitory persistence with the time pattern of inequality determines identification in these models and offer some practical recommendations that follow from our findings.
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Bibliographic InfoPaper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n208-10.pdf.
Length: 30 pages
Date of creation: 2010
Date of revision:
Other versions of this item:
- Doris, Aedin & O'Neill, Donal & Sweetman, Olive, 2010. "Identification of the Covariance Structure of Earnings Using the GMM Estimator," IZA Discussion Papers 4952, Institute for the Study of Labor (IZA).
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
- D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
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