Arbeitspapier

Income variance dynamics and heterogeneity

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 placed on models for the conditional variance of income shocks, that is related to the approporiate 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-specific differences in the stochastic process for earnings and for measurement error. The conditional variance of the income shocks is then modelled as a parsimonious autoregressive process with both observable and unobserved heterogeneity. The empirical analysis is conducted on data drawn from the 1967-1991 Panel Study of Income Dynamics.

Sprache
Englisch

Erschienen in
Series: IFS Working Papers ; No. 01/07

Klassifikation
Wirtschaft
Information, Knowledge, and Uncertainty: General
Wages, Compensation, and Labor Costs: General
Thema
Microeconomic uncertainty
Earnings
ARCH.
Einkommen
Schock
Modellierung
Schätzung
USA

Ereignis
Geistige Schöpfung
(wer)
Meghir, Costas
Pistaferri, Luigi
Ereignis
Veröffentlichung
(wer)
Institute for Fiscal Studies (IFS)
(wo)
London
(wann)
2001

DOI
doi:10.1920/wp.ifs.2001.0107
Handle
Letzte Aktualisierung
20.09.2024, 08:25 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Meghir, Costas
  • Pistaferri, Luigi
  • Institute for Fiscal Studies (IFS)

Entstanden

  • 2001

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