Unobserved Heterogeneity in Income Dynamics
An Empirical Bayes Perspective
Bibliographic Data
| ID | 19419213 |
|---|---|
| Authors | Jiaying Gu (0000-0003-3405-6232, University of Toronto), Roger Koenker (0000-0001-8436-6306, University of Illinois Urbana-Champaign) |
| Year | 2017 |
| Volume | 35 |
| Issue | 1 |
| Pages | 1-16 |
| Publication date | 2017-01-02 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2015.1052457 |
| OpenAlex | W2280549775 |
| Language | EN |
| Citations received | 5 |
| References cited | 47 |
Empirical Bayes methods for Gaussian compound decision problems involving longitudinal data are considered. The new convex optimization formulation of the nonparametric (Kiefer–Wolfowitz) maximum likelihood estimator for mixture models is employed to construct nonparametric Bayes rules for compound decisions. The methods are first illustrated with some simulation examples and then with an application to models of income dynamics. Using panel data, we estimate a simple dynamic model of earnings that incorporates bivariate heterogeneity in intercept and variance of the innovation process. Profile likelihood is employed to estimate an AR(1) parameter controlling the persistence of the innovations. We find that persistence is relatively modest, ρ^≈0.48, when we permit heterogeneity in variances. Evidence of negative dependence between individual intercepts and variances is revealed by the nonparametric estimation of the mixing distribution, and has important consequences for forecasting future income trajectories
Bayes' theorem · Bayesian probability · Bivariate analysis · Econometrics · Economics · Estimator · Nonparametric statistics · Statistics · Economic and Environmental Valuation · Economics of Agriculture and Food Markets · Mathematics · Spatial and Panel Data Analysis
Panel Data Econometrics
Econometric duration analysis
The use of time series processes to model the error structure of earnings in a longitudinal data analysis
A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data
Bayes Estimates for the Linear Model
Grouped Patterns of Heterogeneity in Panel Data
Analysis of Covariance with Qualitative Data
Income Variance Dynamics and Heterogeneity
Theory of the Consumption Function
Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics
| Citations per year | 1 |
|---|---|
| Citation span | 2021 - 2024 (4) |
| Highly cited | No |