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Modelling income processes with lots of heterogeneity.

Abstract:

All empirical models of earnings processes in the literature assume a good deal of homogeneity. In contrast to this we model earnings processes allowing for lots of heterogeneity between agents. We also introduce an ex- tension to the linear ARMA model that allows that the initial convergence to the long run may be di¤erent from that implied by the conventional ARMA model. This is particularly important for unit root tests which are actually tests of a composite of two independent hypotheses....

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Journal:
Review of Economic Studies
Volume:
77
Issue:
4
Publication date:
2010-10-05
DOI:
URN:
uuid:2a6d3e8d-c5ad-4222-91a8-e5ee5b8d05cc
Local pid:
oai:economics.ouls.ox.ac.uk:14853
Language:
English

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