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

Irene Botosaru; Yuya Sasaki

doi:10.1016/j.jeconom.2017.11.010

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

Irene Botosaru, Yuya Sasaki

School of Economics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

7 Citations (Scopus)

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.

Original language	English
Pages (from-to)	283-296
Number of pages	14
Journal	Journal of Econometrics
Volume	203
Issue number	2
Early online date	21 Dec 2017
DOIs	https://doi.org/10.1016/j.jeconom.2017.11.010
Publication status	Published - 1 Apr 2018

Research Groups and Themes

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Keywords

Conditional heteroskedasticity
Earnings risk
Nonparametric identification

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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.",

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AB - 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.

KW - Conditional heteroskedasticity

KW - Earnings risk

KW - Nonparametric identification

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M3 - Article (Academic Journal)

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JO - Journal of Econometrics

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ER -

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

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