IDEAS home Printed from https://ideas.repec.org/p/may/mayecw/n212-10.pdf.html
   My bibliography  Save this paper

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, Finance and Accounting Department Working Paper Series n212-10.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  • Handle: RePEc:may:mayecw:n212-10.pdf
    as

    Download full text from publisher

    File URL: http://repec.maynoothuniversity.ie/mayecw-files/N212-10.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:may:mayecw:n212-10.pdf. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/demayie.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.