Doris, Aedin and O'Neill, Donal and Sweetman, Olive
GMM estimation of the covariance structure of
longitudinal data on earnings.
Stata Journal, 11 (3).
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
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