- 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....
Expand abstract - Publisher copy:
- 10.1111/j.1467-937X.2010.00612.x
-
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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
- Copyright date:
- 2010
Journal article
Modelling income processes with lots of heterogeneity.
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