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GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings

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  • Aedin Doris

    ()
    (Economics,Finance and Accounting National University of Ireland, Maynooth)

  • Donal O'Neill

    ()
    (Economics,Finance and Accounting National University of Ireland,)

  • Olive Sweetman

    ()
    (Economics,Finance and Accounting National University of Ireland,)

Abstract

This 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).

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Bibliographic Info

Paper 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.

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Length: 9 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:may:mayecw:n212-10.pdf

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Keywords: Stata; Permanent Inequality; Transitory Inequality; Generalized Method of Moments; Covariance Structure of Earnings;

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  1. 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.
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