GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings
AbstractThis note describes and illustrates a new Stata program, gmmcovearn, that estimates the covariance structure of earnings for a variety of models using the GMM estimator. The program estimates models that incorporate time factor loadings and cohort factor loadings on both the transitory and permanent component, allows the transitory component to follow either an AR(1) or an ARMA(1,1) process and allows for a random growth and/or random walk process on the permanent component. The program has been used in recent papers by Doris et al (2010a, 2010b).
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.
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 n212-10.pdf.
Length: 9 pages
Date of creation: 2010
Date of revision:
Stata; Permanent Inequality; Transitory Inequality; Generalized Method of Moments; Covariance Structure of Earnings;
Find related papers by JEL classification:
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
- D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
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.:
- Aedin Doris & Donal O'Neill & Olive Sweetman, 2010. "Aggregate Earnings Inequality in Europe: Permanent Differences or Transitory Fluctuations?," Economics, Finance and Accounting Department Working Paper Series n211-10.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.