Is the Use of Autocovariances in Level the Best in Estimating the Income Processes? A Simulation Study
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References listed on IDEAS
- Altonji, Joseph G & Segal, Lewis M, 1996.
"Small-Sample Bias in GMM Estimation of Covariance Structures,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(3), pages 353-366, July.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small sample bias in GMM estimation of covariance structures," Working Paper Series, Macroeconomic Issues 94-8, Federal Reserve Bank of Chicago.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small Sample Bias in GMM Estimation of Covariance Structures," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
- Baker, Michael, 1997. "Growth-Rate Heterogeneity and the Covariance Structure of Life-Cycle Earnings," Journal of Labor Economics, University of Chicago Press, vol. 15(2), pages 338-375, April.
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More about this item
Keywordscovariance structure; income dynamics; random walk; heterogeneous growth profi le; finite sample bias; efficiency;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-08 (All new papers)
- NEP-ECM-2013-02-08 (Econometrics)
- NEP-ETS-2013-02-08 (Econometric Time Series)
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