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GMM estimation of the covariance structure of longitudinal data on earnings

Doris, Aedin and O'Neill, Donal and Sweetman, Olive (2011) GMM estimation of the covariance structure of longitudinal data on earnings. Stata Journal, 11 (3). pp. 439-459. ISSN 1536-867X

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Abstract

In this article, we discuss generalized method of moments estimation of the covariance structure of longitudinal data on earnings, and we introduce and illustrate a Stata program that facilitates the implementation of the generalized method of moments approach in this context. The program, gmmcovearn, estimates a variety of models that encompass those most commonly used by labor economists. These include models where the permanent component of earnings follows a random growth or random walk process and where the transitory component can follow either an AR(1) or an ARMA(1,1) process. In addition, time-factor loadings and cohort-factor loadings may be incorporated in the transitory and permanent components.

Item Type: Article
Additional Information: Postprint version of original published article. Definitive version of the article is available at http://www.stata-journal.com/
Keywords: st0001; gmmcovearn; permanent inequality; transitory inequality; generalized method of moments; GMM; covariance structure of earnings;
Subjects: Social Sciences > Finance
Social Sciences > Economics
Social Sciences > Accounting
Item ID: 2997
Depositing User: Prof. Donal O'Neill
Date Deposited: 20 Jan 2012 09:37
Journal or Publication Title: Stata Journal
Publisher: Statacorp
Refereed: Yes
URI:

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