Nonparametric heteroskedasticity in persistent panel processes: an application to earnings dynamics

DOI10.1016/J.JECONOM.2017.11.010MaRDI QIDQ1706490zbMATH OpenOpenAlexFDO

Authors Irene Botosaru, Yuya Sasaki

Publication date 22 March 2018

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2017.11.010

zbMATH Keywords

conditional heteroskedasticitynonparametric identificationearnings risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 53950 (Why is no real title available?)
• A survey of the theory of characteristic functions
• Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis
• Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
• Estimation of Nonlinear Models with Measurement Error
• Generalized non-parametric deconvolution with an application to earnings dynamics
• Heterogeneity in panel data and in nonparametric analysis
• Income Variance Dynamics and Heterogeneity
• Local linear fitting under near epoch dependence: uniform consistency with convergence rates
• NONPARAMETRIC REGRESSION IN THE PRESENCE OF MEASUREMENT ERROR
• Nonparametric estimation of the measurement error model using multiple indicators.
• Practical bandwidth selection in deconvolution kernel density estimation
• Robust and consistent estimation of nonlinear errors-in-variables models
• Some extensions of a lemma of Kotlarski

Cited in

(8)

• The persistent-transitory representation for earnings processes
• HIP, RIP, and the robustness of empirical earnings processes
• Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
• Identifying an earnings process with dependent contemporaneous income shocks
• Panel data analysis with heterogeneous dynamics
• Time-varying unobserved heterogeneity in earnings shocks
• Recovering Latent Variables by Matching
• What Do Data on Millions of U.S. Workers Reveal About Lifecycle Earnings Dynamics?

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