Identification of the Covariance Structure of Earnings Using the GMM Estimator

Aedín Doris, Donal O'Neill and Olive Sweetman ()
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Olive Sweetman: National University of Ireland, Maynooth

No 4952, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: In this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of earnings shocks and the evolution of inequality over time. We show that the interaction of transitory persistence with the time pattern of inequality determines identification in these models and offer some practical recommendations that follow from our findings.

Keywords: permanent and transitory inequality; GMM (search for similar items in EconPapers)
JEL-codes: D31 J31 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2010-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (7)

Published - published in: Journal of Economic Inequality, 2013, 11 (3), 343-372

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Related works:
Journal Article: Identification of the covariance structure of earnings using the GMM estimator (2013)
Working Paper: Identification of the Covariance Structure of Earnings using the GMM Estimator (2010)
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