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:
- Copyright date:
Modelling income processes with lots of heterogeneity.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record