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GMM estimation of the covariance structure of longitudinal data on earnings

Aedín Doris (), Donal O’Neill () and Olive Sweetman
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Donal O’Neill: National University of Ireland–Maynooth

Authors registered in the RePEc Author Service: Donal O'Neill ()

Stata Journal, 2011, vol. 11, issue 3, 439-459

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: gmmcovearn; permanent inequality; transitory inequality; generalized method of moments; GMM; covariance structure of earnings (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:tsj:stataj:v:11:y:2011:i:3:p:439-459