Linear models with error components are widely used to analyze panel data. Some applications of these models require knowledge of the probability densities of the error components. Existing methods handle this requirement by assuming that the densities belong to known parametric families of distributions (typically the normal distribution). This paper shows how to carry out nonparametric estimation of the densities of the error components, thereby avoiding the assumption that the densities belong to known parametric families. The nonparametric estimators are applied to an earnings model using data from the Current Population Survey. The model's transitory error component is not normally distributed. Use of the nonparametric density estimators yields estimates of the probability that individuals with low earnings will become high earners in the future that are much lower than the estimates obtained under the assumption of normally distributed error components. JEL Classification: C13, C14, C23
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Paper provided by EconWPA in its series Econometrics with number
9309001.
Length: 24 pages Date of creation: 23 Sep 1993 Date of revision: Handle: RePEc:wpa:wuwpem:9309001
Note: Zipped using PKZIP v2.04, encoded using UUENCODE v5.15. Zipped file includes 1 file -- UI93014.zip -- (body in WP5.1, 24 pages) (There are 4 tables and 5 graphs in Stata and Gauss format) Contact details of provider: Web page: http://129.3.20.41
For technical questions regarding this item, or to correct its listing, contact: (EconWPA).
Related research
Keywords:
Other versions of this item:
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
References listed on IDEAS 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.:
Chamberlain, Gary, 1984.
"Panel data,"
Handbook of Econometrics,
in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318
Elsevier.
[Downloadable!] (restricted)
Cited by: (explanations, 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.)