Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7358010 | Journal of Econometrics | 2018 | 38 Pages |
Abstract
This paper considers a dynamic panel model where a latent state variable follows a unit root process with nonparametric heteroskedasticity. We develop constructive nonparametric identification and estimation of the skedastic function. Applying this method to the Panel Survey of Income Dynamics (PSID) in the framework of earnings dynamics, we found that workers with lower pre-recession permanent earnings had higher earnings risk during the three most recent recessions.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Irene Botosaru, Yuya Sasaki,