Identifying an earnings process with dependent contemporaneous income shocks

Research output: Contribution to journalArticlepeer-review

Abstract

This paper proposes a novel approach for identifying coefficients in an earnings dynamics model with arbitrarily dependent contemporaneous income shocks. Traditional methods relying on second moments fail to identify these coefficients, emphasizing the need for nongaussianity assumptions that capture information from higher moments. Our results contribute to the literature on earnings dynamics by allowing models of earnings to have, for example, the permanent income shock of a job change to be linked to the contemporaneous transitory income shock of a relocation bonus.

Original languageAmerican English
Article number111261
JournalEconomics Letters
Volume230
DOIs
StatePublished - 1 Sep 2023

Keywords

  • Earnings dynamics model
  • Statistically dependent contemporaneous income shocks

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Identifying an earnings process with dependent contemporaneous income shocks'. Together they form a unique fingerprint.

Cite this