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;
Academic Unit:	Faculty of Social Sciences > Economics, Finance and Accounting
Item ID:	2997
Depositing User:	Donal O'Neill
Date Deposited:	20 Jan 2012 09:37
Journal or Publication Title:	Stata Journal
Publisher:	Statacorp
Refereed:	Yes
URI:	http://www.stata-journal.com/
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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