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GMM estimation of the covariance structure of longitudinal data on earnings

Aedín Doris (), Donal O'Neill () and Olive Sweetman

Stata Journal, 2011, vol. 11, issue 3, 23

Abstract: In this article, we discuss generalized method of moments estimation of the covariance structure of longitudinal data on earnings, and we introduce and illustrate a Stata program that facilitates the implementation of the generalized method of moments approach in this context. The program, gmmcovearn,estimates a variety of models that encompass those most commonly used by labor economists. These include models where the permanent component of earnings follows a random growth or random walk process and where the transitory component can follow either an AR(1) or an ARMA(1,1) process. In addition, time-factor loadings and cohort-factor loadings may be incorporated in the transitory and permanent components.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ags:stataj:196680

DOI: 10.22004/ag.econ.196680

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