GMMCOVEARN: A Stata Module for GMM Estimation of the Covariance Structure of Earnings
Aedín Doris (),
Donal O'Neill () and
Olive Sweetman ()
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Olive Sweetman: Economics,Finance and Accounting National University of Ireland,
Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth
This note describes and illustrates a new Stata program, gmmcovearn, that estimates the covariance structure of earnings for a variety of models using the GMM estimator. The program estimates models that incorporate time factor loadings and cohort factor loadings on both the transitory and permanent component, allows the transitory component to follow either an AR(1) or an ARMA(1,1) process and allows for a random growth and/or random walk process on the permanent component. The program has been used in recent papers by Doris et al (2010a, 2010b).
Keywords: Stata; Permanent Inequality; Transitory Inequality; Generalized Method of Moments; Covariance Structure of Earnings (search for similar items in EconPapers)
JEL-codes: J31 D31 (search for similar items in EconPapers)
Pages: 9 pages
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n212-10.pdf
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