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

Author

Listed:
  • 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).

Suggested Citation

  • Aedin Doris & Donal O'Neill & Olive Sweetman, 2010. "GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings," Economics Department Working Paper Series n212-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    • Handle: RePEc:may:mayecw:n212-10.pdf
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    File URL: http://repec.maynoothuniversity.ie/mayecw-files/N212-10.pdf
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    References listed on IDEAS

    as
    1. Haider, Steven J, 2001. "Earnings Instability and Earnings Inequality of Males in the United States: 1967-1991," Journal of Labor Economics, University of Chicago Press, vol. 19(4), pages 799-836, October.
    2. Aedin Doris & Donal O'Neill & Olive Sweetman, 2010. "Aggregate Earnings Inequality in Europe: Permanent Differences or Transitory Fluctuations?," Economics Department Working Paper Series n211-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stata; Permanent Inequality; Transitory Inequality; Generalized Method of Moments; Covariance Structure of Earnings;
    All these keywords.

    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

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