The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
Income Variance Dynamics and Heterogeneity
Abstract
Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance. In this paper the assumption of i.i.d. income innovations used in previous empirical studies is removed and the focus of the analysis is placed on models for the conditional variance of income shocks, which is related to the measure of risk emphasized by the theory. We first discriminate amongst various models of earnings determination that separate income shocks into idiosyncratic transitory and permanent components. We allow for education- and time-specific differences in the stochastic process for earnings and for measurement error. The conditional variance of the income shocks is modelled as a parsimonious ARCH process with both observable and unobserved heterogeneity. The empirical analysis is conducted on data drawn from the 1967–1992 Panel Study of Income Dynamics. We find strong evidence of sizeable ARCH effects as well as evidence of unobserved heterogeneity in the variances.
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Cites
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Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
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Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1995) · Working Paper Series · doi:10.1920/wp.ifs.1995.9517 · Cited by 14,755
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Biases in dynamic models with fixed effects
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Journal of Economic Literature
(2019) · AEA Papers and Proceedings · doi:10.1257/pandp.109.633 · Cited by 7,468
Instrumental Variables Regression with Weak Instruments
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Journal of the American Statistical Association
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Instrumental Variables Regression with Weak Instruments
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Cited by
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
The Consumption Response to Income Changes
Jappelli, T., & Pistaferri, L. (2010) · Annual Review of Economics · doi:10.1146/annurev.economics.050708.142933 · Cited by 704
Self-citationConsumption Inequality and Family Labor Supply
Blundell, R., Pistaferri, L., & Saporta-Eksten, I. (2016) · American Economic Review · doi:10.1257/aer.20121549 · Cited by 462
Self-citationHousehold Finance: An Emerging Field
Guiso, L., & Sodini, P. (2013) · Handbook of the Economics of Finance · doi:10.1016/b978-0-44-459406-8.00021-4 · Cited by 437
Gomes, F., Haliassos, M., & Ramadorai, T. (2021) · Journal of Economic Literature · doi:10.1257/jel.20201461 · Cited by 396
Metadata
- Authors
- Meghir, C., & Pistaferri, L.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2004-01
- Volume
- 72
- Issue
- 1
- Pages
- 1-32
- ISSN
- 0012-9682 (ISSN-L)
- 1468-0262
- OpenAlex
- W1532409097
- Cited by
- 622
- References
- 49
- FWCI
- 19.32
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
