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

DOI10.1016/j.jeconom.2017.11.010zbMath1386.62013OpenAlexW2778516570MaRDI QIDQ1706490

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

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

Related Items (4)

Identifying an earnings process with dependent contemporaneous income shocks ⋮ Recovering Latent Variables by Matching ⋮ Time-varying unobserved heterogeneity in earnings shocks ⋮ Panel data analysis with heterogeneous dynamics

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