Distangling Age, Cohort and Time Effects in the Additive Model
July 2002 This paper presents a new approach to the old problem of linear dependency of age, cohort and time effects. It is shown that second differences of the effects can be estimated without any normalization restrictions, providing information on the shape of the age, cohort and time effect profiles, and enabling identification of structural breaks. A Wald test is provided to test the popular linear and quadratic specifications against a very general alternative. First differenced and level effects can then be consistently estimated with a small number of additional normalizing assumptions. Moreover, it is demonstrated that coefficients on additional exogenous regressors can be consistently estimated in this framework without the need for normalizing assumptions. Working Papers Index
|Date of creation:||Jul 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Ralph Landau Economics Building, Stanford, CA 94305-6072|
Web page: http://www-econ.stanford.edu/econ/workp/
More information through EDIRC
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.:
- Dolores Collado, M., 1997. "Estimating dynamic models from time series of independent cross-sections," Journal of Econometrics, Elsevier, vol. 82(1), pages 37-62.
- Angus Deaton & Christina Paxson, 1993.
"Intertemporal Choice and Inequality,"
NBER Working Papers
4328, National Bureau of Economic Research, Inc.
- James Heckman & Edward Vytlacil, 2000.
"Identifying the Role of Cognitive Ability in Explaining the Level of and Change in the Return to Schooling,"
NBER Working Papers
7820, National Bureau of Economic Research, Inc.
- James Heckman & Edward Vytlacil, 2001. "Identifying The Role Of Cognitive Ability In Explaining The Level Of And Change In The Return To Schooling," The Review of Economics and Statistics, MIT Press, vol. 83(1), pages 1-12, February.
- Nijman, T.E. & Verbeek, M.J.C.M., 1993. "Minimum MSE estimation of a regression model with fixed effects from a series of cross sections," Other publications TiSEM 34c1104a-a64b-4030-be99-b, Tilburg University, School of Economics and Management.
- Jappelli, Tullio, 1999.
"The Age-Wealth Profile and the Life-Cycle Hypothesis: A Cohort Analysis with Time Series of Cross-Sections of Italian Households,"
Review of Income and Wealth,
International Association for Research in Income and Wealth, vol. 45(1), pages 57-75, March.
- Jappelli, Tullio, 1995. "The Age-Wealth Profile and the Life-Cycle Hypothesis: A Cohort Analysis with a Time Series of Cross-Sections of Italian Households," CEPR Discussion Papers 1251, C.E.P.R. Discussion Papers.
- Tullio Jappelli, 1999. "The Age-Wealth Profile and The Life-Cycle Hypothesis: a Cohort Analysis with a Time Series of Cross-Sections of Italian Households," CSEF Working Papers 14, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- J. A. Hausman & W. E. Taylor, 1980.
"Panel Data and Unobservable Individual Effects,"
255, Massachusetts Institute of Technology (MIT), Department of Economics.
- Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-98, November.
- Hausman, Jerry A. & Taylor, William E., 1981. "Panel data and unobservable individual effects," Journal of Econometrics, Elsevier, vol. 16(1), pages 155-155, May.
- Verbeek, Marno & Nijman, Theo, 1993.
"Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections,"
Journal of Econometrics,
Elsevier, vol. 59(1-2), pages 125-136, September.
- Verbeek, M. & Nijman, T., 1992. "Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections," Papers 9201, Tilburg - Center for Economic Research.
- Deaton, Angus, 1985. "Panel data from time series of cross-sections," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 109-126.
- David J. McKenzie, 2001. "The Household Response to the Mexican Peso Crisis," Working Papers 01017, Stanford University, Department of Economics.
- Denton, Frank T & Mountain, Dean C & Spencer, Byron G, 1999. "Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 430-43, October.
When requesting a correction, please mention this item's handle: RePEc:wop:stanec:02009. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.