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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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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2006-01-01
Language:
English
UUID:
uuid:cf921f5f-637d-4d14-ae78-e989b6fc4f22
Local pid:
ora:1324
Deposit date:
2011-08-15

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