Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics
This paper considers a dynamic panel model where a latent state variable follows a unit root process with nonparametric heteroskedasticity. We develop constructive nonparametric identification and estimation of the skedastic function. Applying this method to the Panel Survey of Income Dynamics (PSID...
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Published in | Journal of econometrics Vol. 203; no. 2; pp. 283 - 296 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Amsterdam
Elsevier B.V
01.04.2018
Elsevier Sequoia S.A |
Subjects | |
Online Access | Get full text |
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Summary: | This paper considers a dynamic panel model where a latent state variable follows a unit root process with nonparametric heteroskedasticity. We develop constructive nonparametric identification and estimation of the skedastic function. Applying this method to the Panel Survey of Income Dynamics (PSID) in the framework of earnings dynamics, we found that workers with lower pre-recession permanent earnings had higher earnings risk during the three most recent recessions. |
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ISSN: | 0304-4076 1872-6895 |
DOI: | 10.1016/j.jeconom.2017.11.010 |