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A Nonparametric Characterization of Income Uncertainty over the Lifecycle

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  • James Feigenbaum

Abstract

In addition, we show that income uncertainty exhibits a U-shaped profile over the lifecyle, with young and old households facing greater uncertainty than middle-aged households. This pattern is particularly pronounced for near and intermediate forecast horizons. Our results are robust to various sample and model specifications and hold with respect to both labor and total family income. As opposed to a unit-root process, we find that our nonparametric estimates are better replicated by an income process with highly persistent, autoregressive shocks that have age and horizon dependent variances.

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Bibliographic Info

Paper provided by University of Pittsburgh, Department of Economics in its series Working Papers with number 359.

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Date of creation: Jul 2008
Date of revision: Jul 2008
Handle: RePEc:pit:wpaper:359

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  10. James Feigenbaum & Geng Li, 2008. "Lifecycle dynamics of income uncertainty and consumption," Finance and Economics Discussion Series 2008-27, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. James Feigenbaum & Geng Li, 2008. "Lifecycle Dynamics of Income Uncertainty and Consumption," Working Papers 360, University of Pittsburgh, Department of Economics, revised Jul 2008.

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